| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13151 |
| 来源ID | Working Paper 13151 |
| Exchange Rate Fundamentals and Order Flow | |
| Martin D. D. Evans; Richard K. Lyons | |
| 发表日期 | 2007-06-07 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13151 |
| 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/570820 |
| 推荐引用方式 GB/T 7714 | Martin D. D. Evans,Richard K. Lyons. Exchange Rate Fundamentals and Order Flow. 2007. |
| 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 | ||
| w13151.pdf（514KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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