Moreover, it provides a straightforward solution to the exchange-rate disconnect puzzle. Namely, the high frequency behavior of spot exchange rates reflects the ...
The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in the ...
Downloadable (with restrictions)! The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in ...
Order flow is a determinant because it conveys informa- tion. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of ...
Second, the contemporaneous correlation between price changes and order flows varies across shocks. Some shocks produce a positive ...
important light on this puzzle: most exchange rate volatility at short to medium horizons is related to order flows. This suggests that investor ...
Identifies the role of order flow in aggregating and conveying macro information to FX dealers, who then us it when quoting spot rates. 2. Develop an econometric ...
1. Introduction. One of the most enduring problems in international economics is the 'exchange rate disconnect' puzzle. Numerous structural or ...
Order Flows and The Exchange Rate Disconnect Puzzle Journal of International Economics, February, 2010. How Is Macro News Transmitted to Exchange Rates ?
Keywords: Exchange rates; Monetary model; Order flow;