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Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

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. …

Persistent link: https://www.econbiz.de/10010322425

Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

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

Persistent link: https://www.econbiz.de/10010322440

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009

the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by … macroeconomic and microstructure variables together can explain a non-negligible part of high frequency exchange rate movements and …

Persistent link: https://www.econbiz.de/10010322449

Order flow in the South: Anatomy of the Brazilian FX market

Wu, Thomas - 2007

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

Persistent link: https://www.econbiz.de/10010322735

Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

de Jong, Frank; Mahieu, Ronald; Schotman, Peter; van … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10010324605

Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10010264608

Exchange rate management in emerging markets : intervention via an electronic limit order book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - 2009

This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...

Persistent link: https://www.econbiz.de/10010275802

Customer trading and information in foreign exchange markets

Bjønnes, Geir Høidal; Rime, Dagfinn - 2000

Recent research point to the possible existence of private information in foreign exchange markets. Dealers claim that customer orders are their most important source of private information, and that banks with a large customer base have a competitive advantage. In this paper we test hypotheses...

Persistent link: https://www.econbiz.de/10010284326

Private or public information in foreign exchange markets? An empirical analysis

Rime, Dagfinn - 2000

In macroeconomic models of foreign exchange markets, exchange rates are determined by public information, while trading activities are completely irrelevant. In general, these models have low explanatory power for short horizons, which might be due to the possible existence of private...

Persistent link: https://www.econbiz.de/10010284328

Order flow in the South: Anatomy of the Brazilian FX market

Wu, Thomas - 2007

This paper contributes to the microstructure approach to exchange rates in two ways. Using a unique dataset that covers …

Persistent link: https://www.econbiz.de/10010285344