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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 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

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 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

Order Flows, News, and Exchange Rate Volatility

FRÖMMEL, M.; MENDE, A.; MENKHOFF, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank’s high frequency US dollar-euro trading, three different kinds of order flow are used in addition to...

Persistent link: https://www.econbiz.de/10004983089

Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)

Brùha, Jan; Derviz, Alexis - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 7-8, pp. 318-343

The authors study the dependence of the Czech koruna’s exchange rate to the euro on risk factors that cannot be reduced to standard macroeconomic fundamentals. For this purpose, they construct an international asset-pricing model in which the exchange rate is codetermined by a risk factor...

Persistent link: https://www.econbiz.de/10005698614

Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics

Nguyen, Viet Hoang; Shin, Yongcheol - Melbourne Institute of Applied Economic and Social … - 2011

We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily...

Persistent link: https://www.econbiz.de/10009228767

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

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