| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8491 |
| 来源ID | Working Paper 8491 |
| Fixed versus Flexible: Lessons from EMS Order Flow | |
| William P. Killeen; Richard K. Lyons; Michael J. Moore | |
| 发表日期 | 2001-09-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly fixed rates (EMS to EMU). In the model, shocks to order flow induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the same shocks do not have portfolio-balance effects. These effects arise in one regime and not the other because the elasticity of speculative demand for foreign exchange is (endogenously) regime-dependent: low elasticity under flexible rates magnifies portfolio-balance effects; under credibly fixed rates, elasticity of speculative demand is infinite, eliminating portfolio-balance effects. New data on FF/DM transactions show that order flow had persistent effects on the exchange rate before EMU parities were announced. After announcement, determination of the FF/DM rate was decoupled from order flow, as predicted by the model. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8491 |
| 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/566095 |
| 推荐引用方式 GB/T 7714 | William P. Killeen,Richard K. Lyons,Michael J. Moore. Fixed versus Flexible: Lessons from EMS Order Flow. 2001. |
| 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 | ||
| w8491.pdf（218KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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