search query: @author Lyons, R. K. / total: 3
reference: 3 / 3
« previous | next »
| Author: | Evans, M. D. D. Lyons, R. K. |
| Title: | Order Flow and Exchange Rate Dynamics |
| Journal: | Journal of Political Economy
2002 : FEB, VOL. 110:1, p. 170-180 |
| Index terms: | POLITICAL ECONOMY EXCHANGE RATES ECONOMICS |
| Language: | eng |
| Abstract: | This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure finance- order flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. The authors' model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, the authors find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent. |
« previous | next »
SCIMA