• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Order flow information and spot rate dynamics

Evans, Martin D. D.; Rime, Dagfinn
Journal article, Peer reviewed
Thumbnail
Åpne
LOCKED until 04.07.2018 due to copyright restrictions (1.467Mb)
Permanent lenke
http://hdl.handle.net/11250/2422943
Utgivelsesdato
2016
Metadata
Vis full innførsel
Samlinger
  • Scientific articles [1334]
Originalversjon
Journal of International Money and Finance, 69(2016)December, 45-68   http://dx.doi.org/10.1016/j.jimonfin.2016.06.018
Sammendrag
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.
Beskrivelse
This is the accepted and refereed manuscript to the article
Utgiver
Elsevier
Tidsskrift
Journal of International Money and Finance

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit