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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. |
条目包含的文件 | 条目无相关文件。 |
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