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来源类型Working Paper
规范类型报告
DOI10.3386/w13151
来源IDWorking 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
URLhttps://www.nber.org/papers/w13151
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/570820
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Martin D. D. Evans,Richard K. Lyons. Exchange Rate Fundamentals and Order Flow. 2007.
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