| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14175 |
| 来源ID | Working Paper 14175 |
| Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set | |
| Menzie D. Chinn; Michael J. Moore | |
| 发表日期 | 2008-07-18 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We propose an exchange rate model which is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. It argues that the failure of the monetary model is principally due to private preference shocks which render the demand for money unstable. These shocks to liquidity preference are revealed through order flow. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on inter-dealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or "hybrid", model exhibits out of sample forecasting improvement over the basic macroeconomic and random walk specifications. |
| 主题 | Microeconomics ; Economics of Information ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w14175 |
| 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/571849 |
| 推荐引用方式 GB/T 7714 | Menzie D. Chinn,Michael J. Moore. Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set. 2008. |
| 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 | ||
| w14175.pdf（220KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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