The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a … new approach to the analysis of exchange rates. The most important variable of the microstructure analysis, the so … data, but also at longer time horizons that are relevant for macro-economic analysis. Microstructure theory is thus …

microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the … market for Hungarian forint, using the standard analytical framework of the FX microstructure literature. Our results confirm … microstructure, the traditional portfolio-balance channel of exchange rate determination is also in place. …

Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of …

the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by … considering a small open transition economy. We find that the intraday exchange rate - independent from whether we focus on the … macroeconomic and microstructure variables together can explain a non-negligible part of high frequency exchange rate movements and …

relative to previous microstructure models. First, dealers may decide to hold overnight positions in the FX market if they .nd …