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dc.contributor.authorEvans, Martin D. D.
dc.contributor.authorRime, Dagfinn
dc.date.accessioned2016-11-24T14:43:05Z
dc.date.available2016-11-24T14:43:05Z
dc.date.issued2016
dc.identifier.citationJournal of International Money and Finance, 69(2016)December, 45-68nb_NO
dc.identifier.issn0261-5606
dc.identifier.issn1873-0639
dc.identifier.urihttp://hdl.handle.net/11250/2422943
dc.descriptionThis is the accepted and refereed manuscript to the articlenb_NO
dc.description.abstractThis 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.nb_NO
dc.language.isoengnb_NO
dc.publisherElseviernb_NO
dc.titleOrder flow information and spot rate dynamicsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.source.journalJournal of International Money and Financenb_NO
dc.identifier.doihttp://dx.doi.org/10.1016/j.jimonfin.2016.06.018
dc.description.localcode1, Forfatterversjonnb_NO


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