| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4642 |
| 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 |
| URL | https://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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