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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 … economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high …

Persistent link: https://www.econbiz.de/10012143667

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

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

Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework

De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2005

We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting …

Persistent link: https://www.econbiz.de/10010261158

Bubbles and Crashes in a Behavioural Finance Model

De Grauwe, Paul; Grimaldi, Marianna - 2004

We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting …

Persistent link: https://www.econbiz.de/10010321349

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

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

Trading European sovereign bonds: the microstructure of the MTS trading platforms

Cheung, Yiu Chung; de Jong, Frank; Rindi, Barbara - 2005

We study the microstructure of the MTS Global Market bond trading system, which is the largest interdealer trading …

Persistent link: https://www.econbiz.de/10011604478

Large' vs. 'small' players: a closer look at the dynamics of speculative attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009

What is the role of large players" like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...

Persistent link: https://www.econbiz.de/10010276829

Liquidity provision in the overnight foreign exchange market

Bjønnes, Geir Høidal; Rime, Dagfinn; Solheim, Haakon … - 2004

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ten years. Two main findings support this: (i) The net position of...

Persistent link: https://www.econbiz.de/10011968161