Exchange rate fundamentals and order flow:
We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role...
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13151 |
| Links: | http://papers.nber.org/papers/w13151.pdf |
| Zusammenfassung: | We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals. |
| Beschreibung: | Literaturverz. S. 46 - 47 |
| Umfang: | 47, 20 S. graph. Darst. 22 cm |
Internformat
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| 100 | 1 | |a Evans, Martin D. D. |d 1960- |e Verfasser |0 (DE-588)124547958 |4 aut | |
| 245 | 1 | 0 | |a Exchange rate fundamentals and order flow |c Martin D. D. Evans ; Richard K. Lyons |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13151 | |
| 500 | |a Literaturverz. S. 46 - 47 | ||
| 520 | 8 | |a We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals. | |
| 700 | 1 | |a Lyons, Richard K. |d 1961- |e Verfasser |0 (DE-588)124547990 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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| id | DE-604.BV023593060 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908390 |
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| owner_facet | DE-521 |
| physical | 47, 20 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Evans, Martin D. D. 1960- Verfasser (DE-588)124547958 aut Exchange rate fundamentals and order flow Martin D. D. Evans ; Richard K. Lyons Cambridge, Mass. National Bureau of Economic Research 2007 47, 20 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13151 Literaturverz. S. 46 - 47 We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals. Lyons, Richard K. 1961- Verfasser (DE-588)124547990 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13151 (DE-604)BV002801238 13151 http://papers.nber.org/papers/w13151.pdf kostenfrei Volltext |
| spellingShingle | Evans, Martin D. D. 1960- Lyons, Richard K. 1961- Exchange rate fundamentals and order flow |
| title | Exchange rate fundamentals and order flow |
| title_auth | Exchange rate fundamentals and order flow |
| title_exact_search | Exchange rate fundamentals and order flow |
| title_full | Exchange rate fundamentals and order flow Martin D. D. Evans ; Richard K. Lyons |
| title_fullStr | Exchange rate fundamentals and order flow Martin D. D. Evans ; Richard K. Lyons |
| title_full_unstemmed | Exchange rate fundamentals and order flow Martin D. D. Evans ; Richard K. Lyons |
| title_short | Exchange rate fundamentals and order flow |
| title_sort | exchange rate fundamentals and order flow |
| url | http://papers.nber.org/papers/w13151.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT evansmartindd exchangeratefundamentalsandorderflow AT lyonsrichardk exchangeratefundamentalsandorderflow |