| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27199 |
| 来源ID | Working Paper 27199 |
| Foreign Exchange Order Flow as a Risk Factor | |
| Craig Burnside; Mario Cerrato; Zhekai Zhang | |
| 发表日期 | 2020-05-25 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to provide direct measures of buying and selling pressure related to carry trading and momentum strategies. We find that they appear to be good proxies for currency crash risk. Additionally, we show that the association between our order-flow factors and currency returns differs according to the customer segment of the foreign exchange market. In particular, it appears that financial customers are risk takers in the market, while non-financial customers serve as liquidity providers. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w27199 |
| 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/584872 |
| 推荐引用方式 GB/T 7714 | Craig Burnside,Mario Cerrato,Zhekai Zhang. Foreign Exchange Order Flow as a Risk Factor. 2020. |
| 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 | ||
| w27199.pdf（477KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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