Order flow and exchange rate dynamics

被引：493

作者：

Evans, MDD ^{[1
]}

Lyons, RK

机构：

[1] Georgetown Univ, Washington, DC 20057 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Univ Calif Berkeley, Berkeley, CA 94720 USA

来源：

JOURNAL OF POLITICAL ECONOMY | 2002年 / 110卷 / 01期

关键词：

D O I：

10.1086/324391

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. Our model of daily deutsche mark/dollar log changes produces an R-2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, we find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent.

引用

页码：170 / 180

页数：11

共 26 条

[1] DUTCH AUCTION REPURCHASES - AN ANALYSIS OF SHAREHOLDER HETEROGENEITY [J].