| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7317 |
| 来源ID | Working Paper 7317 |
| Order Flow and Exchange Rate Dynamics | |
| Martin D.D. Evans; Richard K. Lyons | |
| 发表日期 | 1999-08-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure-order flow. Order flow is the proximate determinant of price in all microstructure models. This is a radically different approach to exchange rate determination. It is also strikingly successful in accounting for realized rates. Our model of daily exchange-rate changes produces R2 statistics above 50 percent. Out of sample, our model produces significantly better short-horizon forecasts than a random walk. For the DM/$ spot market as a whole, we find that $1 billion of net dollar purchases increases the DM price of a dollar by about 1 pfennig. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w7317 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564855 |
| 推荐引用方式 GB/T 7714 | Martin D.D. Evans,Richard K. Lyons. Order Flow and Exchange Rate Dynamics. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7317.pdf（162KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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