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The microstructure approach to exchange rates: A survey from a central bank's viewpoint
Gereben, Áron; Gyomai, György; Kiss, Norbert M. - 2005
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 …
Persistent link: https://www.econbiz.de/10010322409
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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
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Norbert Kiss M.; Pintér, Klára - Magyar Nemzeti Bank (MNB) - 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/10008483745
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How do macroeconomic announcements and FX market transactions affect exchange rates?
Norbert Kiss M.; Pintér, Klára - In: MNB Bulletin 2 (2007) 1, pp. 22-30
In this paper we analyse the relation between the EUR/HUF exchange rate, economic fundamentals and FX market transactions. Our results are in line with international experiences: the effect of macroeconomic announcements is transmitted to the exchange rate partly directly, with an immediate...
Persistent link: https://www.econbiz.de/10005562403
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Microstructure And Market Maker Price Strategies: Study Of A Tunisian Market Maker Activity
GTIFA, Saida - In: Review of Economic and Business Studies (2010) 5, pp. 149-164
This paper provides evidence on market making behaviour of FX dealer in the Tunisian FX. It uses a complete data set that includes intra-day trades for the euro and US dollar. The sample period is 1 January 2007 to 31 December 2007. The results are consistent with the findings of the literature...
Persistent link: https://www.econbiz.de/10008636569
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
FRÖMMEL, M.; M, N. KISS; PINTÉR, K. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2009
order flow on the other hand. We extend the existing literature on foreign exchange market microstructure by considering a …
Persistent link: https://www.econbiz.de/10008487270
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Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - 2007
market, and the ability of microstructure models based on order flow to outperform a naive random walk benchmark. If order …
Persistent link: https://www.econbiz.de/10012143667
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Exchange rate forecasting, order flow and macroeconomic information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - Norges Bank - 2007
market, and the ability of microstructure models based on order flow to outperform a naive random walk benchmark. If order …
Persistent link: https://www.econbiz.de/10005481452
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Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - 2012
Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...
Persistent link: https://www.econbiz.de/10009521479
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The Flows of the Pacific: Asian Foreign Exchange Markets Through Tranquility and Turbulence
Rime, Dagfinn; Tranvåg, Hans Jørgen - 2012
Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and turbulent periods. Over...
Persistent link: https://www.econbiz.de/10012143789