Add to ORKGThis paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
This paper investigates heterogeneity in the market assessment of public macro- economic announcemen...
This paper tests whether macroeconomic news is transmitted to exchange rates via induced transactio...
Using data that avoid the stale quotes problem, we show that order flow contributes more to currency...
Under rational expectations and efficient markets, the news contained in public information announce...
Under rational expectations and efficient markets, the news contained in public information announce...
We examine the links between end-user order flows as seen by a major European commercial bank and ma...
This paper examines whether the traditional sets of macro surprises, that most of the literature con...
This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses in...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
This paper examines the effects of the announcement of different macroeconomic data on the forint/eu...
Abstract: We examine the links between end-user order flows as seen by a major European commercial ...
This paper investigates heterogeneity in the market assessment of public macro-economic announcement...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
This paper investigates heterogeneity in the market assessment of public macro- economic announcemen...
This paper tests whether macroeconomic news is transmitted to exchange rates via induced transactio...
Using data that avoid the stale quotes problem, we show that order flow contributes more to currency...
Under rational expectations and efficient markets, the news contained in public information announce...
Under rational expectations and efficient markets, the news contained in public information announce...
We examine the links between end-user order flows as seen by a major European commercial bank and ma...
This paper examines whether the traditional sets of macro surprises, that most of the literature con...
This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses in...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
This paper examines the effects of the announcement of different macroeconomic data on the forint/eu...
Abstract: We examine the links between end-user order flows as seen by a major European commercial ...
This paper investigates heterogeneity in the market assessment of public macro-economic announcement...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
This paper investigates heterogeneity in the market assessment of public macro- economic announcemen...