全球智库信息集成服务系统(G2TT): DP7237 The EU-US total factor productivity gap : An industry-level perspective

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7237
	DP7237 The EU-US total factor productivity gap : An industry-level perspective
	Alessandro Turrini; Werner Röger; Kieran McMorrow
发表日期	2009-03-22
出版年	2009
语种	英语
摘要	This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow reflects heterogeneous expectations about macroeconomic fundamentals, and currency markets learn about the state of the economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major exchange rates, we find that: i) order flow is intimately related to a broad set of current and expected macroeconomic fundamentals; ii) more importantly, order flow is a powerful predictor of daily movements in exchange rates in an out-of-sample exercise, on the basis of economic value criteria such as Sharpe ratios and performance fees implied by utility calculations.
主题	Financial Economics ; International Macroeconomics
关键词	Exchange rates Forecasting Macroeconomic news Microstructure Order flow
URL	https://cepr.org/publications/dp7237
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/536072
推荐引用方式 GB/T 7714	Alessandro Turrini,Werner Röger,Kieran McMorrow. DP7237 The EU-US total factor productivity gap : An industry-level perspective. 2009.