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Order flow information and spot rate dynamics

Evans, Martin D. D.; Rime, Dagfinn
Journal article, Peer reviewed
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URI
http://hdl.handle.net/11250/2422943
Date
2016
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  • Scientific articles [1334]
Original version
Journal of International Money and Finance, 69(2016)December, 45-68   http://dx.doi.org/10.1016/j.jimonfin.2016.06.018
Abstract
This paper examines why order flows are empirically important drivers of spot exchange rate dynamics.

We consider a decomposition for the depreciation rate that must hold in any model and show

that order flows will appear as important proximate drivers when they convey significant incremental

information about future interest rate di↵erentials, risk premiums and/or long-run exchange rate levels

(i.e., information that cannot be inferred from publicly observed variables). We estimate the importance

of these incremental information flows for the EURNOK spot exchange rate using eight years of highquality,

disaggregated, end-user order flow data collected by the Norges Bank.
Description
This is the accepted and refereed manuscript to the article
Publisher
Elsevier
Journal
Journal of International Money and Finance

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