G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7237
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
URLhttps://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.
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