Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set
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"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
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- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012.
"Short-run forecasting of the euro-dollar exchange rate with economic fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
- Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1203, Banco de España.
- Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
- Vitale, Paolo & Rime, Dagfinn & Breedon, Francis, 2010.
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- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010.
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- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Monetary Policy Group, Bank of Thailand.
- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
- John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008.
"Short-run Exchange-rate Dynamics: Theory And Evidence,"
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39, Brandeis University, Department of Economics and International Business School.
- John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
- Francis Breedon & Angelo Ranaldo, 2013.
"Intraday Patterns in FX Returns and Order Flow,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
- Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
- Francis Breedon & Angelo Ranaldo, 2011. "Intraday patterns in FX returns and order flow," Working Papers 2011-04, Swiss National Bank.
- Francis Breedon & Angelo Ranaldo, 2012. "Intraday Patterns in FX Returns and Order Flow," Working Papers 694, Queen Mary University of London, School of Economics and Finance.
- Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
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More about this item
JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2008-07-30 (Central Banking)
- NEP-FOR-2008-07-30 (Forecasting)
- NEP-MAC-2008-07-30 (Macroeconomics)
- NEP-MON-2008-07-30 (Monetary Economics)
- NEP-MST-2008-07-30 (Market Microstructure)
- NEP-OPM-2008-07-30 (Open Economy Macroeconomics)
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