| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4574 |
| DP4574 Price Competition in a Differentiated Products Duopoly Under Network Effects | |
| Nikolaos Vettas; Krina Griva | |
| 发表日期 | 2004-08-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We propose a simple structural model of exchange rate determination that draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing an innovative transaction data-set that covers all direct foreign exchange transactions completed in the USD/EUR market via EBS and Reuters between August 2000 and January 2001. Our results indicate that the strong contemporaneous correlation between order flow and exchange rates is mostly due to liquidity effects. This result also appears to carry through to the four FX intervention events that appear in our sample. |
| 主题 | International Macroeconomics |
| 关键词 | Order flow Foreign exchange mirror structure Exchange rate dynamics |
| URL | https://cepr.org/publications/dp4574 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533491 |
| 推荐引用方式 GB/T 7714 | Nikolaos Vettas,Krina Griva. DP4574 Price Competition in a Differentiated Products Duopoly Under Network Effects. 2004. |
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