Frequency domain analysis of foreign exchange order flows
AbstractUsing a unique data set from the Bank of Canada, this paper presents the frequency domain analysis of a causal relationship between the Canada/US dollar exchange rate movements and currency order flows. The evidence shows that the existence as well as the direction of causality depends on the customer type, frequency, and time period.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 115 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Foreign exchange markets; Order flows; Private information;
Find related papers by JEL classification:
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
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