Showing 1 - 10 of 182
This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow...
Persistent link: https://www.econbiz.de/10004972168
This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow...
Persistent link: https://www.econbiz.de/10008565653
Persistent link: https://www.econbiz.de/10003830188
This paper examines the relation between the Canadian dollar/US dollar (CAD) exchange rate and foreign exchange order flow employing a novel data set on CAD order flow over the period 1994-2005. We investigate empirically the predictive information content and the determinants of order flow. The...
Persistent link: https://www.econbiz.de/10008864694
This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...
Persistent link: https://www.econbiz.de/10005527271
The scapegoat theory of exchange rates (Bacchetta and van Wincoop, 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “scapegoats”to rationalize observed currency fluctuations at times when exchange rates are...
Persistent link: https://www.econbiz.de/10011208564
This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ('one-way arbitrage'). Using a unique data set for three major capital and...
Persistent link: https://www.econbiz.de/10005006360
This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...
Persistent link: https://www.econbiz.de/10005124143
Persistent link: https://www.econbiz.de/10003728667
The existing literature on financial crises includes several different methods of testing for contagion during financial market crises. In this article, two modified models for measuring contagion via changes in correlations due to unexpected shocks are used: the adjusted correlation model and...
Persistent link: https://www.econbiz.de/10005451910