G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4642
DP4642 External Currency Pricing and the East Asian Crisis
Michael B Devereux; David Cook
发表日期2004-09-23
出版年2004
语种英语
摘要We propose a critical review of recent developments in exchange rate economics. This new strand of research is motivated by some very stark empirical evidence, relating exchange rate returns to order flow. Plenty of empirical evidence shows that order flow, i.e. the imbalance in the sequence of purchases and sales of foreign currencies in the markets for foreign exchange, is an extremely powerful determinant of short-run exchange rate movements. With a simplified analytical framework we see how, according to the rational expectation paradigm of asset pricing, such a relation reflects liquidity and information effects of portfolios shifts.
主题International Macroeconomics
关键词Order flow Foreign exchange microstructure Exchange rate dynamics
URLhttps://cepr.org/publications/dp4642
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/533562
推荐引用方式
GB/T 7714
Michael B Devereux,David Cook. DP4642 External Currency Pricing and the East Asian Crisis. 2004.
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