Similar Search Results

The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

Rime, Dagfinn; Tranvåg, Hans Jørgen - Norges Bank - 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/10009391592

Exchange Rates and Order Flow in the Long Run

Boyer, M. Martin; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2006

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate … macroeconomic models and is consistent with the prediction of micro-structure models. We reexamine the evidence for stable long … statistically fragile. We conclude that this implication of microstructure models does not fit the data as well as previous studies …

Persistent link: https://www.econbiz.de/10005100932

Explaining and Forecasting Exchange Rates with Order Flows

Lyons, Richard K. - In: Economie Internationale (2003) 96, pp. 107-127

This paper summarizes key lessons learned from using models from microstructure finance to explain and forecast …

Persistent link: https://www.econbiz.de/10005406473

Exchange rate determination and dynamics in China: A market microstructure analysis

Zhang, Zhichao; Chau, Frankie; Zhang, Wenting - In: International Review of Financial Analysis 29 (2013) C, pp. 303-316

This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market …

Persistent link: https://www.econbiz.de/10010741747

Global liquidity risk in the foreign exchange market

Banti, Chiara; Phylaktis, Kate; Sarno, Lucio - In: Journal of International Money and Finance 31 (2012) 2, pp. 267-291

Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analog of the well-known Pastor–Stambaugh liquidity...

Persistent link: https://www.econbiz.de/10010577035

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

Persistent link: https://www.econbiz.de/10011604360

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 … ; microstructure ; exchange rate. …

Persistent link: https://www.econbiz.de/10008746440

The offshore renminbi exchange rate : microstructure and links to the onshore market

Cheung, Yin-Wong; Rime, Dagfinn - 2014

study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …

Persistent link: https://www.econbiz.de/10010367171

Common Factors, Order Flows, and Exchange Rate Dynamics

Fourel, Valère - 2015

We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...

Persistent link: https://www.econbiz.de/10013018659

Price-setting in the foreign exchange swap market : evidence from order flow

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020

This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the...

Persistent link: https://www.econbiz.de/10012417506