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Empirical Evidence on the Microstructure Models of Exchange Rates

In: The Theory And Empirics Of Exchange Rates

Author

Listed:
  • Imad A Moosa

    (Monash University, Australia)

  • Razzaque H Bhatti

    (Gulf University for Science and Technology, Kuwait)

Abstract

The following sections are included:IntroductionThe Explanatory Power of Order FlowOrder Flow and Other Characteristics of Exchange RatesThe Forecasting Power of Order FlowThe Micro Impact of Macroeconomic News on Exchange RatesMacroeconomic Fundamentals-Related News and Exchange Rate ChangesMacroeconomic Announcements and Exchange RatesMacroeconomic News and Exchange Rate Mean and VarianceMacroeconomic Announcements, Order Flow, and Exchange RatesA Microstructure Test of International Financial IntegrationRecapitulation

Suggested Citation

  • Imad A Moosa & Razzaque H Bhatti, 2009. "Empirical Evidence on the Microstructure Models of Exchange Rates," World Scientific Book Chapters, in: The Theory And Empirics Of Exchange Rates, chapter 13, pages 379-421, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812839541_0013
    as

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