| Record ID | marc_loc_2016/BooksAll.2016.part35.utf8:72502048:2240 |
| Source | Library of Congress |
| Download Link | /show-records/marc_loc_2016/BooksAll.2016.part35.utf8:72502048:2240?format=raw |
LEADER: 02240nam a22002897a 4500
001 2007616306
003 DLC
005 20070727083849.0
007 cr |||||||||||
008 070726s2007 mau sb 000 0 eng
010 $a 2007616306
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aEvans, Martin D. D.
245 10 $aExchange rate fundamentals and order flow$h[electronic resource] /$cMartin D. D. Evans, Richard K. Lyons.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 13151
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 7/26/2007.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central role in information aggregation, providing testable links between transaction flows, exchange rates, and future fundamentals. We test these links using data on all end-user currency trades received at Citibank over 6.5 years, a sample sufficiently long to analyze real-time forecasts at the quarterly horizon. The predictions are borne out in four empirical findings that define this paper's main contribution: (1) transaction flows forecast future macro variables such as output growth, money growth, and inflation, (2) transaction flows forecast these macro variables significantly better than the exchange rate does, (3) transaction flows (proprietary) forecast future exchange rates, and (4) the forecasted part of fundamentals is better at explaining exchange rates than standard measured fundamentals"--National Bureau of Economic Research web site.
700 1 $aLyons, Richard K.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13151.
856 40 $uhttp://papers.nber.org/papers/w13151