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Richard K. Lyons

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Richard K. Lyons & Ganesh Viswanath-Natraj, 2020. "What Keeps Stablecoins Stable?," NBER Working Papers 27136, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guillermo Angeris & Alex Evans & Tarun Chitra, 2020. "When does the tail wag the dog? Curvature and market making," Papers 2012.08040, arXiv.org.
    2. Maarten van Oordt, 2022. "The Emerging Autonomy–Stability Choice for Stablecoins," Tinbergen Institute Discussion Papers 22-015/IV, Tinbergen Institute.
    3. Barry Eichengreen & Ganesh Viswanath-Natraj, 2022. "Stablecoins and Central Bank Digital Currencies: Policy and Regulatory Challenges," Papers 2202.07564, arXiv.org.
    4. Adeyinka Adediran & Bola Babajide & Nataliia Osina, 2023. "Exploring the nexus between price and volume changes in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 498-512, October.
    5. Saito, Makoto, 2022. "On expenditure/income discrepancies in national accounts in the presence of two price units," Japan and the World Economy, Elsevier, vol. 64(C).
    6. Łęt, Blanka & Sobański, Konrad & Świder, Wojciech & Włosik, Katarzyna, 2023. "What drives the popularity of stablecoins? Measuring the frequency dynamics of connectedness between volatile and stable cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    7. Raffaele Fabio Ciriello & Alexandra Cecilie Gjøl Torbensen & Magnus Rotvit Perlt Hansen & Christoph Müller-Bloch, 2023. "Blockchain-based digital rights management systems: Design principles for the music industry," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-21, December.
    8. Ye Li & Simon Mayer & Simon Mayer, 2021. "Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking," CESifo Working Paper Series 9260, CESifo.
    9. Louis Bertucci & Sébastien Choukroun & Julien Prat, 2022. "Enjeux et promesses des stablecoins décentralisés," Post-Print hal-03912747, HAL.
    10. Danai Likitratcharoen & Pan Chudasring & Chakrin Pinmanee & Karawan Wiwattanalamphong, 2023. "The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies," Sustainability, MDPI, vol. 15(5), pages 1-21, March.
    11. De Blasis, Riccardo & Galati, Luca & Webb, Alexander & Webb, Robert I., 2022. "Intelligent design: Stablecoins (in)stability and collateral during market turbulence," Economics & Statistics Discussion Papers esdp22088, University of Molise, Department of Economics.
    12. John Caramichael & Gordon Y. Liao, 2022. "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers 1334, Board of Governors of the Federal Reserve System (U.S.).
    13. Ariah Klages-Mundt & Dominik Harz & Lewis Gudgeon & Jun-You Liu & Andreea Minca, 2020. "Stablecoins 2.0: Economic Foundations and Risk-based Models," Papers 2006.12388, arXiv.org, revised Oct 2020.
    14. Huachen Li, 2022. "Tether points, price stability, and arbitrage efficiency," Economics Bulletin, AccessEcon, vol. 42(4), pages 2193-2199.
    15. Dirk G. Baur & Thomas Dimpfl, 2021. "The volatility of Bitcoin and its role as a medium of exchange and a store of value," Empirical Economics, Springer, vol. 61(5), pages 2663-2683, November.
    16. Sood, Kirti & Singh, Simarjeet & Behl, Abhishek & Sindhwani, Rahul & Kaur, Sandeepa & Pereira, Vijay, 2023. "Identification and prioritization of the risks in the mass adoption of artificial intelligence-driven stable coins: The quest for optimal resource utilization," Resources Policy, Elsevier, vol. 81(C).
    17. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    18. Ladislav Kristoufek, 2022. "On the role of stablecoins in cryptoasset pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    19. Cong, Lin William & Mayer, Simon, 2022. "The Coming Battle of Digital Currencies," Applied Economics and Policy Working Paper Series 320020, Cornell University, Department of Applied Economics and Management.
    20. Binh Nguyen Thanh & Thai Nguyen Vu Hong & Huy Pham & Thanh Nguyen Cong & Thu Pham Thi Anh, 2023. "Are the stabilities of stablecoins connected?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 50(3), pages 515-525, September.
    21. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
    22. Jean Barthélémy & Paul Gardin & Benoit Nguyen, 2023. "Stablecoins and the Financing of the Real Economy," Working papers 908, Banque de France.
    23. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    24. Tatiana A. Gorbacheva, 2022. "Stablecoins As a New Word in the Cryptocurrency Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 126-139, February.
    25. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The influence of stablecoin issuances on cryptocurrency markets," Finance Research Letters, Elsevier, vol. 41(C).
    26. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    27. Arto Kovanen, 2022. "Second Thoughts About Central Bank Digital Currencies," Applied Economics and Finance, Redfame publishing, vol. 9(1), pages 1-18, December.
    28. Bruce Mizrach, 2022. "Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure," Papers 2201.01392, arXiv.org, revised Feb 2023.

  2. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Cedric Tille & Eric van Wincoop, 2009. "Disconnect and Information Content of International Capital Flows: Evidence and Theory," Working Papers 102009, Hong Kong Institute for Monetary Research.
    3. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    4. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    5. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
    6. Kodongo, Odongo & Ojah, Kalu, 2012. "The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 71-87.
    7. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    8. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
    9. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    10. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    11. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
    12. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    13. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    14. 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.
    15. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    16. Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 175-196, March.
    17. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    18. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    19. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    20. Gençay, Ramazan & Gradojevic, Nikola, 2013. "Private information and its origins in an electronic foreign exchange market," Economic Modelling, Elsevier, vol. 33(C), pages 86-93.
    21. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
    22. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    23. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    24. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    25. Katarzyna Bien, 2011. "Informed and Uninformed Trading in the EUR/PLN Spot Market," Working Papers 53, Department of Applied Econometrics, Warsaw School of Economics.
    26. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    27. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    28. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Tayor, 2010. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 211-247, September.
    29. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    30. Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
    31. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    32. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    33. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    34. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    35. Jeremy J. Nalewaik, 2008. "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series 2008-15, Board of Governors of the Federal Reserve System (U.S.).
    36. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    37. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    38. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    39. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
    40. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    41. Kaul, Aditya & Kayacetin, Nuri Volkan, 2017. "Flight-to-quality, economic fundamentals, and stock returns," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 162-175.
    42. David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
    43. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    44. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    45. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    46. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    47. Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.
    48. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    49. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    50. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    51. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
    52. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    53. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
    54. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    55. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    56. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    57. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.

  3. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.

    Cited by:

    1. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
    2. Smita Roy Trivedi, 2022. "The Janus view: Do market participants looking into the past impact foreign exchange volatility?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3990-4001, October.

  4. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.

    Cited by:

    1. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    2. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    3. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    4. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.

  5. Martin D.D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers 11042, National Bureau of Economic Research, Inc.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Kelly Burns & Imad Moosa, 2017. "Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?," Applied Economics, Taylor & Francis Journals, vol. 49(48), pages 4897-4910, October.
    3. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    4. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    6. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    7. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    8. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    9. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    10. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    11. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    12. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    13. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
    14. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    15. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    16. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
    17. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    18. 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.
    19. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    20. Imad Moosa & Kelly Burns, 2016. "The random walk as a forecasting benchmark: drift or no drift?," Applied Economics, Taylor & Francis Journals, vol. 48(43), pages 4131-4142, September.
    21. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    22. 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.
    23. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    24. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
    25. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    26. Dionísio Dias Carneiro & Thomas Wu, 2010. "Sovereign Risk and Out‐of‐Equilibrium Exchange Rate Dynamics," Review of Development Economics, Wiley Blackwell, vol. 14(4), pages 699-711, November.
    27. Juan Pedro Jensen Perdomo & Fernando Balbino Botelho, 2007. "Messe-Rogoff Revisitados: Uma Análise Empírica Das Projeções Para A Taxa De Câmbio No Brasil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 038, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    28. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    29. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    30. Aldo Barrios & Rob Franolic & Davide Giovanardi & Michael Melvin, 2022. "Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market," CESifo Working Paper Series 9921, CESifo.
    31. Pietro Bonaldi & Mauricio Villamizar-Villegas, 2018. "An Auction-Based Test of Private Information in an Interdealer FX Market," Working papers 1, Red Investigadores de Economía.
    32. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    33. Raj Aggarwal & Brian M. Lucey & Fergal A. O'Connor, 2014. "Rationality in Precious Metals Forward Markets: Evidence of Behavioural Deviations in the Gold Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp462, IIIS.
    34. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    35. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
    36. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    37. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    38. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    39. Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
    40. Cross, Rod & Kozyakin, Victor, 2014. "Fact And Fictions In FX Arbitrage Processes," SIRE Discussion Papers 2014-003, Scottish Institute for Research in Economics (SIRE).
    41. Charlie X. Cai & Qi Zhang, 2016. "High†Frequency Exchange Rate Forecasting," European Financial Management, European Financial Management Association, vol. 22(1), pages 120-141, January.
    42. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, vol. 16(1), pages 127-151.
    43. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.
    44. Alexis Stenfors & Masayuki Susai, 2021. "Stealth Trading in FX Markets," Working Papers in Economics & Finance 2021-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
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    47. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
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    52. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
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    56. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Forecasting the CNY-CNH pricing differential: The role of investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 232-247.
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    59. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    60. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    61. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
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    64. Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 557-574, February.
    65. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    66. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    67. Reitz Stefan & Rülke Jan-Christoph & Stadtmann Georg, 2010. "Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(4), pages 454-466, August.
    68. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
    69. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    70. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
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    74. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
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    76. Gholampour, Vahid, 2022. "Exchange rates and information about future fundamentals," Journal of International Money and Finance, Elsevier, vol. 127(C).
    77. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
    78. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    79. Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009. "Risk appetite and exchange Rates," Staff Reports 361, Federal Reserve Bank of New York.
    80. Agus Salim & Kai Shi, 2019. "A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners," JRFM, MDPI, vol. 12(2), pages 1-17, May.
    81. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    82. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    83. Stenfors, Alexis & Susai, Masayuki, 2021. "Spoofing and pinging in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    84. Geromichalos, Athanasios & Jung, Kuk Mo, 2015. "An Over-the-Counter Approach to the FOREX Market," MPRA Paper 64402, University Library of Munich, Germany.
    85. Hsin-Min Lu & Chia-Shang J. Chu, 2006. "Random walk hypothesis in exchange rate reconsidered," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 275-290.
    86. Hendricks, Nathan P. & Er, Emrah, 2018. "Changes in cropland area in the United States and the role of CRP," Food Policy, Elsevier, vol. 75(C), pages 15-23.
    87. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    88. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    89. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
    90. Tripe, David & Xia, Bingru & Roberts, Leigh, 2011. "Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience," Working Paper Series 18604, Victoria University of Wellington, School of Economics and Finance.
    91. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
    92. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    93. Daniel MITCHELL RESTREPO, 2006. "Forecasting the Colombian Exchange Rate: Capital Adjustments and Politics vs. Traditional IRP, Trade Adjustments and Random Walk Frameworks," Archivos de Economía 11228, Departamento Nacional de Planeación.
    94. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
    95. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    96. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    97. Gradojevic, Nikola, 2007. "The microstructure of the Canada/U.S. dollar exchange rate: A robustness test," Economics Letters, Elsevier, vol. 94(3), pages 426-432, March.
    98. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    99. Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers 49, Bank of Greece.
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  6. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    3. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    4. Young, Sharon & Bruce, Anna & MacGill, Iain, 2019. "Potential impacts of residential PV and battery storage on Australia's electricity networks under different tariffs," Energy Policy, Elsevier, vol. 128(C), pages 616-627.
    5. Anella Munro, 2014. "Exchange rates, expected returns and risk: UIP unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Patnaik, Ila & Felman, Joshua & Shah, Ajay, 2017. "An exchange market pressure measure for cross country analysis," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 62-77.
    7. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    8. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    9. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    10. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    11. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    12. Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013. "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper 57673, University Library of Munich, Germany.
    13. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    14. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    15. 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.
    16. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
    17. Dr. Pinar Yesin, 2016. "Exchange Rate Predictability and State-of-the-Art Models," Working Papers 2016-02, Swiss National Bank.
    18. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    19. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    20. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    21. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
    22. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    23. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
    24. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    25. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    26. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    27. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    28. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
    29. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    30. Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
    31. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    32. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    33. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    34. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    35. Esen Onur, 2008. "The role of asymmetric information among investors in the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 368-385.
    36. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    37. Speirs, Jamie & Balcombe, Paul & Johnson, Erin & Martin, Jeanne & Brandon, Nigel & Hawkes, Adam, 2018. "A greener gas grid: What are the options," Energy Policy, Elsevier, vol. 118(C), pages 291-297.
    38. Wang, Jingfan & Tchapmi, Lyne P. & Ravikumar, Arvind P. & McGuire, Mike & Bell, Clay S. & Zimmerle, Daniel & Savarese, Silvio & Brandt, Adam R., 2020. "Machine vision for natural gas methane emissions detection using an infrared camera," Applied Energy, Elsevier, vol. 257(C).
    39. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    40. Toroghi, Shahaboddin H. & Oliver, Matthew E., 2019. "Framework for estimation of the direct rebound effect for residential photovoltaic systems," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
    41. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
    42. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    43. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    44. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    45. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    46. Marsh, Ian W., 2011. "Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 377-392, March.
    47. de Roure, Calebe & Furniagiev, Steven & Reitz, Stefan, 2013. "The microstructure of exchange rate management: FX intervention and capital controls in Brazil," Kiel Working Papers 1865, Kiel Institute for the World Economy (IfW Kiel).
    48. Edwards, Karen & Rosenbaum, Mark S. & Brosdahl, Deborah & Hughes, Patrick, 2018. "Designing retail spaces for inclusion," Journal of Retailing and Consumer Services, Elsevier, vol. 44(C), pages 182-190.
    49. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    50. Pippenger, John, 2007. "How should we think about markets for foreign exchange?," University of California at Santa Barbara, Economics Working Paper Series qt3w40w1b5, Department of Economics, UC Santa Barbara.

  7. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc.

    Cited by:

    1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    2. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    3. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    4. Wang, Wenhao & Lin, Zhitao & Hu, Bing, 2023. "Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies," Finance Research Letters, Elsevier, vol. 53(C).
    5. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    6. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
    7. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers 07-27, Bank of Canada.
    8. Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," Working Papers hal-04141414, HAL.
    9. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
    10. Bhaghoe, Sailesh & Ooft, Gavin, 2020. "Modelling Exchange-Rate Volatility With Commodity Prices," Studies in Applied Economics 165, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    11. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    12. Ehrmann, Michael & Fratzscher, Marcel, 2007. "Explaining monetary policy in press conferences," Working Paper Series 767, European Central Bank.
    13. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
    14. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
    15. Rasmus Fatum & Barry Scholnick, "undated". "Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?," EPRU Working Paper Series 05-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2005.
    16. George Jiang & Ingrid Lo, 2011. "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers 11-5, Bank of Canada.
    17. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
    18. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
    19. Elaut, Gert & Frömmel, Michael & Lampaert, Kevin, 2018. "Intraday momentum in FX markets: Disentangling informed trading from liquidity provision," Journal of Financial Markets, Elsevier, vol. 37(C), pages 35-51.
    20. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    21. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    22. Mollick Andre Varella & Soydemir Gokce, 2008. "The Impact of the Japanese Purchases of U.S. Treasuries on the Dollar/Yen Exchange Rate," Global Economy Journal, De Gruyter, vol. 8(1), pages 1-20, February.
    23. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    24. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    25. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    26. Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series 1532, European Central Bank.
    27. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    28. Marcel Fratzscher, 2008. "Oral Interventions Versus Actual Interventions in Fx Markets – An Event‐Study Approach," Economic Journal, Royal Economic Society, vol. 118(530), pages 1079-1106, July.
    29. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    30. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    31. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    32. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
    33. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    34. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    35. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
    36. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    37. K. H. McIntyre & Kristine Harjes, 2016. "Order Flow and the Bitcoin Spot Rate," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 136-147, August.
    38. Radovan Fiser & Roman Horvath, 2010. "Central bank communication and exchange rate volatility: a GARCH analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 25-31.
    39. Brett W. Fawley & Christopher J. Neely, 2011. "Capital flows and Japanese asset volatility," Working Papers 2011-034, Federal Reserve Bank of St. Louis.
    40. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    41. Hamza Bennani & Cécile Couharde & Yoan Wallois, 2023. "The effect of IMF communication on government bond markets: insights from sentiment analysis," Post-Print hal-04202545, HAL.
    42. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    43. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    44. Levon Goukasian & Mehdi Majbouri, 2010. "The Reaction of Real Estate–Related Industries to the Monetary Policy Actions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 355-398, June.
    45. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    46. Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
    47. Dr. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    48. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    49. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
    50. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    51. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    52. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    53. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
    54. Lazarczyk, Ewa, 2016. "Market-specific news and its impact on forward premia on electricity markets," Energy Economics, Elsevier, vol. 54(C), pages 326-336.
    55. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    56. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
    57. Takagi, Shinji & Pham, Thi Hoang Anh, 2011. "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, vol. 22(6), pages 507-517.
    58. Shumi Akhtar & Robert Faff & Barry Oliver, 2011. "The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates," Australian Journal of Management, Australian School of Business, vol. 36(3), pages 387-403, December.
    59. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    60. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    61. Lee A. Smales, 2013. "Impact Of Macroeconomic Announcements On Interest Rate Futures: High-Frequency Evidence From Australia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 371-388, September.
    62. Roy Trivedi, Smita, 2018. "Exchange rate volatility: Trader's beliefs and the role of news," MPRA Paper 89330, University Library of Munich, Germany.
    63. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    64. Pippenger, John, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series qt97m8z6hw, Department of Economics, UC Santa Barbara.
    65. Smita Roy Trivedi, 2022. "The Janus view: Do market participants looking into the past impact foreign exchange volatility?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3990-4001, October.
    66. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    67. Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    68. Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021. "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach," Working Papers hal-04159751, HAL.
    69. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    70. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    71. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    72. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations [‘Micro effects of macro announcements: Real-time price discovery in foreign exchange’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 23(54), pages 364-409.
    73. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    74. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
    75. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    76. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    77. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
    78. Telegin, O., 2022. "Bank of Russia regular communications and volatility short-term effects in financial markets," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 130-155.
    79. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    80. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, April.
    81. Seung Chan Ahn & Michael Melvin, 2007. "Exchange Rates and FOMC Days," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1245-1266, August.
    82. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    83. Kevin Evans & Alan Speight, 2011. "Intraday euro exchange rates and international macroeconomic announcements," The European Journal of Finance, Taylor & Francis Journals, vol. 17(2), pages 83-110.
    84. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, vol. 20(4), pages 585-600, December.

  8. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.

    Cited by:

    1. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    2. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
    3. Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan & Xu, Qi, 2021. "Currency Volatility and Global Technological Innovation," CEPR Discussion Papers 16611, C.E.P.R. Discussion Papers.
    4. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    5. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    6. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    7. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  9. Richard K. Lyons & Michael J. Moore, 2005. "An Information Approach to International Currencies," NBER Working Papers 11220, National Bureau of Economic Research, Inc.

    Cited by:

    1. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
    2. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    3. Mehl, Arnaud & Eichengreen, Barry & Chiţu, Livia, 2014. "Stability or upheaval? The currency composition of international reserves in the long run," Working Paper Series 1715, European Central Bank.
    4. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
    5. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    6. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    7. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
    8. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
    9. Gençay, Ramazan & Gradojevic, Nikola, 2013. "Private information and its origins in an electronic foreign exchange market," Economic Modelling, Elsevier, vol. 33(C), pages 86-93.
    10. Q. Farooq Akram & Dagfinn Rime & Lucio Sarno, 2008. "Does the law of one price hold in international financial markets? Evidence from tick data," Working Paper 2008/19, Norges Bank.
    11. Zhang, Cathy, 2013. "An Information-Based Theory of International Currency," MPRA Paper 42114, University Library of Munich, Germany.
    12. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    13. Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.
    14. Marc Flandreau & Clemens Jobst, 2006. "The Empirics of International Currencies: Evidence from the 19th Century," Working Papers hal-01065631, HAL.
    15. Marc Flandreau & Clemens Jobst, 2009. "The Empirics of International Currencies: Network Externalities, History and Persistence," Economic Journal, Royal Economic Society, vol. 119(537), pages 643-664, April.
    16. Mehl, Arnaud & Eichengreen, Barry & Lafarguette, Romain, 2016. "Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market," Working Paper Series 1889, European Central Bank.
    17. Roman Kozhan & Wing Wah Tham, 2012. "Execution Risk in High-Frequency Arbitrage," Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
    18. Liu, Tao & Wang, Xiaosong & Woo, Wing Thye, 2019. "The road to currency internationalization: Global perspectives and chinese experience," Emerging Markets Review, Elsevier, vol. 38(C), pages 73-101.
    19. Flandreau, Marc & Jobst, Clemens, 2006. "The Empirics of International Currencies: Historical Evidence," CEPR Discussion Papers 5529, C.E.P.R. Discussion Papers.
    20. Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.
    21. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    22. Wu, Zhen-Xing & Gau, Yin-Feng & Chen, Yu-Lun, 2023. "Price discovery and triangular arbitrage in currency markets," Journal of International Money and Finance, Elsevier, vol. 137(C).

  10. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    2. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    3. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
    4. John Williamson, 2008. "Exchange Rate Economics," Working Paper Series WP08-3, Peterson Institute for International Economics.
    5. Vitale, Paolo, 2006. "A market microstructure analysis of foreign exchange intervention," Working Paper Series 629, European Central Bank.
    6. Mr. Torbjorn I. Becker & Mr. Amadou N Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 2005/034, International Monetary Fund.
    7. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    8. Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers 78, Society for Economic Dynamics.
    9. Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers.
    10. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    11. Akbar, Ume Salma & Mubashir Ali, Mubashir Ali & Shah, Zulifqar Ali, 2014. "Home Equity Bias," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 1(1), pages 40-56, October.
    12. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    13. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
    14. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    15. Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.
    16. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    17. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
    18. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    19. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
    20. Nelson C. Mark, 2009. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1047-1070, September.
    21. Becker, Torbjorn & Sy, Amadou, 2006. "Were bid-ask spreads in the FX market excessive during the Asian crisis?," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 434-449.
    22. Bilesha B. Weeraratne, 2011. "Solving the Forward Discount Bias Puzzle in a Small Open Developing Economy," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 12(1), pages 61-89, March.
    23. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    24. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    25. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    26. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    27. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    28. Steven Pennings & Rod Tyers, 2008. "Increasing Returns, Financial Capital Mobility and Real Exchange Rate Dynamics," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages 141-158, September.
    29. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
    30. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    31. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    32. Sviatoslav Rosov & F. Douglas Foster, 2014. "Measuring the information content of customer foreign exchange orders," Australian Journal of Management, Australian School of Business, vol. 39(2), pages 247-264, May.
    33. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 363, European Central Bank.
    34. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
    35. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    36. Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
    37. Christian Dreger & Georg Stadtmann, 2006. "What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey," Discussion Papers of DIW Berlin 624, DIW Berlin, German Institute for Economic Research.
    38. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    39. Min-Yong Shin & Taehwan Yoo, 2006. "Monetary Policy Rules and the Forward Discount Bias," Korean Economic Review, Korean Economic Association, vol. 22, pages 299-317.

  11. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.

    Cited by:

    1. Fredriksson, Per G. & List, John A. & Millimet, Daniel L., 2004. "Chasing the smokestack: strategic policymaking with multiple instruments," Regional Science and Urban Economics, Elsevier, vol. 34(4), pages 387-410, July.
    2. Pierre Salmon, 2003. "The Assignment of Powers in an Open-ended European Union," CESifo Working Paper Series 993, CESifo.
    3. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
    4. Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo.
    5. Wang, Junfeng & Xu, Xiaoya & Wang, Shimeng & He, Shutong & He, Pan, 2021. "Heterogeneous effects of COVID-19 lockdown measures on air quality in Northern China," Applied Energy, Elsevier, vol. 282(PA).
    6. Menkhoff, Lukas, 2012. "Foreign Exchange Intervention in Emerging Markets: A Survey of Empirical Studies," Hannover Economic Papers (HEP) dp-498, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Wu, Wenqing & Zhu, Dongyang & Liu, Wenyi & Wu, Chia-Huei, 2022. "Empirical research on smart city construction and public health under information and communications technology," Socio-Economic Planning Sciences, Elsevier, vol. 80(C).
    8. Richard W. Evans, 2012. "Is Openness Inflationary? Policy Commitment and Imperfect Competition," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    9. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    10. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "The Federal Reserve as an informed foreign-exchange trader: 1973-1995," Working Papers (Old Series) 1118, Federal Reserve Bank of Cleveland.
    11. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Papers (Old Series) 1113, Federal Reserve Bank of Cleveland.
    12. Timo Wollmershäuser, 2003. "Sterilised foreign exchange market interventions - a controversial monetary instrument," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(19), pages 34-44, October.
    13. Josh Ederington, Arik Levinson & Jenny Minier, 2003. "Footlose and Pollution Free," Working Papers gueconwpa~03-03-04, Georgetown University, Department of Economics.
    14. Peter Bofinger & Timo Wollmershäuser, 2003. "Managed Floating as a Monetary Policy Strategy," Economic Change and Restructuring, Springer, vol. 36(2), pages 81-109, June.
    15. M. Kayalica & Sajal Lahiri, 2005. "Strategic Environmental Policies in the Presence of Foreign Direct Investment," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 30(1), pages 1-21, January.
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    17. Charumathi B & Mangaiyarkarasi T, 2023. "Effect of the COVID-19 Pandemic on CO2 Emissions in India," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(4), pages 1-5.
    18. Richard W. Evans, 2007. "Is openness inflationary? Imperfect competition and monetary market power," Globalization Institute Working Papers 01, Federal Reserve Bank of Dallas.
    19. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.

  12. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.

    Cited by:

    1. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    2. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
    3. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    4. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    5. Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics.
    7. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
    8. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
    9. Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
    10. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
    11. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    12. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
    13. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    14. Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc.
    15. Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005. "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series 432, European Central Bank.
    16. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    17. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    18. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    19. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers 02-9, Bank of Canada.
    20. Pasquariello, Paolo, 2010. "Central bank intervention and the intraday process of price formation in the currency markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1045-1061, October.
    21. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 2004/006, International Monetary Fund.
    22. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
    23. Arzé Karam, 2022. "Dealers' incentives to reveal their names," The Financial Review, Eastern Finance Association, vol. 57(1), pages 27-44, February.
    24. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 2003/115, International Monetary Fund.
    25. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    26. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    27. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Staff Working Papers 02-16, Bank of Canada.
    28. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    29. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," 2006 Meeting Papers 864, Society for Economic Dynamics.
    30. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    31. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
    32. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
    33. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    34. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    35. Kakhbod, Ali & Song, Fei, 2020. "Dynamic price discovery: Transparency vs. information design," Games and Economic Behavior, Elsevier, vol. 122(C), pages 203-232.
    36. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
    37. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
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    39. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    40. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    41. Marmora, Paul & Rytchkov, Oleg, 2018. "Learning about noise," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 209-224.
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    43. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    44. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  13. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.

    Cited by:

    1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
    2. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    3. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    4. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    5. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
    6. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    7. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    8. Blundell, R & Francesconi, M & van der Klaauw, W, 2011. "Anatomy of Welfare Reform Evaluation:Announcement and Implementation Effects," Economics Discussion Papers 2572, University of Essex, Department of Economics.
    9. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    10. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
    11. Yi-Chen Chung & Hsien-Ming Chou & Chih-Neng Hung & Chihli Hung, 2021. "Using Textual and Economic Features to Predict the RMB Exchange Rate," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(6), pages 1-8.
    12. Frank Westerhoff & Sebastiano Manzan, 2004. "Does liquidity in the FX market depend on volatility?," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-8.
    13. S. S. Vinokurov & A.A. Medved & L. A. Mierin, 2018. "Economic News and Household Decisions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
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    17. Bhaghoe, Sailesh & Ooft, Gavin, 2020. "Modelling Exchange-Rate Volatility With Commodity Prices," Studies in Applied Economics 165, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    18. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
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    21. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    22. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    23. Péter Kondor, 2009. "The more we know, the less we agree: Higher-order expectations and public announcements," 2009 Meeting Papers 1018, Society for Economic Dynamics.
    24. Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto, 2017. "The Exchange Rate Effects of Macro News after the Global Financial Crisis," GRU Working Paper Series GRU_2017_007, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    25. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
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    28. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
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    35. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    36. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia.
    37. 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.
    38. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
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    43. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    44. David Archer, 2005. "Foreign exchange market intervention: methods and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 40-55, Bank for International Settlements.
    45. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
    46. Cai, Fang & Howorka, Edward & Wongswan, Jon, 2008. "Informational linkages across trading regions: Evidence from foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1215-1243, December.
    47. Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 167-178.
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    49. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
    50. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
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    60. Masahiro Yamada & Takatoshi Ito, 2020. "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements," NBER Working Papers 27036, National Bureau of Economic Research, Inc.
    61. Walid Ben Omrane & Robert Welch & Xinyao Zhou, 2020. "The dynamic effect of macroeconomic news on the euro/US dollar exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 84-103, January.
    62. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank.
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    Cited by:

    1. Sandra Lizarazo, 2009. "Contagion of Financial Crises in Sovereing Debt Markets," Working Papers 0906, Centro de Investigacion Economica, ITAM.
    2. Valpy Fitzgerald, 2002. "The Instability of the Emerging Market Assets Demand Schedule," WIDER Working Paper Series DP2002-80, World Institute for Development Economic Research (UNU-WIDER).
    3. Fernando, Deepthi & Klapper, Leora & Sulla, Victor & Vittas, Dimitri, 2003. "The global growth of mutual funds," Policy Research Working Paper Series 3055, The World Bank.
    4. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    5. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    6. Stijn Claessens & Daniela Kingebiel & Sergio L. Schmukler, 2002. "Explaining the Migration of Stocks from Exchanges in Emerging Economies to International Centres," WIDER Working Paper Series DP2002-94, World Institute for Development Economic Research (UNU-WIDER).
    7. Ghosh, Atish R. & Ostry, Jonathan D. & Qureshi, Mahvash S., 2018. "Taming the Tide of Capital Flows: A Policy Guide," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262037165, December.
    8. Reinhart, Carmen & Levich, Richard & Majoni, Giovanni, 2002. "Ratings, rating agencies and the global financial system: Summary and policy implications," MPRA Paper 13249, University Library of Munich, Germany.
    9. Jokipii, Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Bank of Finland Research Discussion Papers 15/2006, Bank of Finland.
    10. Mahvash S Qureshi & Mr. Atish R. Ghosh & Mr. Juan Zalduendo & Mr. Jun I Kim, 2012. "Surges," IMF Working Papers 2012/022, International Monetary Fund.
    11. Young‐Soo Choi & Svetlana Mira & Nicholas Taylor, 2022. "Local versus foreign analysts' forecast accuracy: does herding matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1143-1188, April.
    12. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
    13. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.
    14. Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2010. "Financial regulation, financial globalization and the synchronization of economic activity," Working Paper Series 1221, European Central Bank.
    15. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
    16. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
    17. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    18. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
    19. Li, Suxiao & de Haan, Jakob & Scholtens, Bert, 2018. "Surges of international fund flows," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 97-119.
    20. Rashid Ameer, 2007. "What Moves the Primary Stock and Bond Markets? Influence of Macroeconomic Factors on Bond and Equity Issues in Malaysia and Korea," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 3(1), pages 93-116.
    21. Sanaullah & Muhammad Shahbaz Khan & Dr. Amna Noor & Salleh Khan, 2021. "An Investigation of Market Timing Ability of Mutual Fund Managers in Pakistan," iRASD Journal of Management, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 56-68, june.
    22. Oh, Frederick Dongchuhl, 2013. "Contagion of a liquidity crisis between two firms," Journal of Financial Economics, Elsevier, vol. 107(2), pages 386-400.
    23. Christian Wildmann, 2011. "What drives portfolio investments of German banks in emerging capital markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 197-231, June.
    24. Reena Aggarwal & Leora Klapper & Peter D. Wysocki, 2003. "Portfolio preferences of foreign institutional investors," Policy Research Working Paper Series 3101, The World Bank.
    25. Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Working Papers 1317, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    26. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
    27. Shu Lin & Shu Tian & Eliza Wu, 2013. "Emerging Stars and Developed Neighbors: The Effects of Development Imbalance and Political Shocks on Mutual Fund Investments in China," Financial Management, Financial Management Association International, vol. 42(2), pages 339-371, June.
    28. Sandra Lizarazo & Jose Maria Da-Rocha, 2009. "Money, Credit and Default," Working Papers 0908, Centro de Investigacion Economica, ITAM.
    29. Forbes, Kristin J. & Chinn, Menzie David, 2003. "A Decomposition Of Global Linkages In Financial Markets Over Time," Santa Cruz Department of Economics, Working Paper Series qt4391b5w7, Department of Economics, UC Santa Cruz.
    30. Karolyi, G. Andrew, 2002. "Did the Asian financial crisis scare foreign investors out of Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 411-442, September.
    31. Groh, Alexander P. & Liechtenstein, Heinrich & Canela, Miguel A., 2008. "Limited partners' perceptions of the Central Eastern European venture capital and private equity market," IESE Research Papers D/727, IESE Business School.
    32. Naqvi, Natalya, 2018. "Manias, panics and crashes in emerging markets: an empirical investigation of the post-2008 crisis period," LSE Research Online Documents on Economics 90368, London School of Economics and Political Science, LSE Library.
    33. Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    34. Michael Frenkel & Lukas Menkhoff, 2004. "Are Foreign Institutional Investors Good for Emerging Markets?," The World Economy, Wiley Blackwell, vol. 27(8), pages 1275-1293, August.
    35. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.
    36. Thomas Moser, 2003. "What Is International Financial Contagion?," International Finance, Wiley Blackwell, vol. 6(2), pages 157-178, July.
    37. Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
    38. Mr. Amadou N Sy & Ms. Li L Ong, 2004. "The Role of Mature Market Mutual Funds in Emerging Markets: Myth or Mayhem?," IMF Working Papers 2004/133, International Monetary Fund.
    39. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    40. Dong Chuhl Oh, 2009. "Contagion of Liquidity Crisis between Firms," Levine's Working Paper Archive 814577000000000197, David K. Levine.
    41. Subhamitra Patra & Gourishankar S. Hiremath, 2022. "An Entropy Approach to Measure the Dynamic Stock Market Efficiency," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 337-377, June.
    42. Goldstein, Itay & Pauzner, Ady, 2004. "Contagion of self-fulfilling financial crises due to diversification of investment portfolios," Journal of Economic Theory, Elsevier, vol. 119(1), pages 151-183, November.
    43. Mihir A. Desai & C. Fritz Foley, 2004. "The Comovement of Returns and Investment Within the Multinational Firm," NBER Working Papers 10785, National Bureau of Economic Research, Inc.
    44. Wildmann, Christian, 2010. "What drives portfolio investments of German banks in emerging capital markets?," Discussion Paper Series 2: Banking and Financial Studies 2010,04, Deutsche Bundesbank.
    45. Li, Suxiao & de Haan, Jakob & Scholtens, Bert, 2018. "Cyclical behavior of international fund flows," Research in International Business and Finance, Elsevier, vol. 43(C), pages 99-112.
    46. Tulbure, Narcis & Catarama, Delia, 2009. "Institutional and Socio-Cultural Factors Explaining the Development of Mutual Funds. A Cross-Country Analysis," MPRA Paper 20341, University Library of Munich, Germany.
    47. Mr. Gaston Gelos, 2011. "International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey," IMF Working Papers 2011/092, International Monetary Fund.
    48. Ameer, Rashid, 2010. "The role of institutional investors in the inventory and cash management practices of firms in Asia," Journal of Multinational Financial Management, Elsevier, vol. 20(2-3), pages 126-143, July.
    49. Priscilla Swartz, 2006. "Global Versus Regional Systematic Risk and International Asset Allocations in Asia," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 77-89, May.
    50. Anchada Charoenrook & Pantisa Pavabutr, 2017. "A Window into Thai Mutual Fund Managers’ Perception and Decision-Making Process," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-43, September.
    51. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
    52. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
    53. Ladekarl, Jeppe & Zervos, Sara, 2004. "Housekeeping and plumbing - the investability of emerging markets," Policy Research Working Paper Series 3229, The World Bank.
    54. Sergio L. Schmukler, 2004. "Financial globalization: gain and pain for developing countries," Economic Review, Federal Reserve Bank of Atlanta, vol. 89(Q 2), pages 39-66.
    55. Ramos-Francia, Manuel & Garcia-Verdu, Santiago, 2018. "Is trouble brewing for emerging market economies? An empirical analysis of emerging market economies’ bond flows," Journal of Financial Stability, Elsevier, vol. 35(C), pages 172-191.
    56. Nicolas Melissas, 2009. "On Bid Disclosure in OCS Wildcat Auctions," Working Papers 0905, Centro de Investigacion Economica, ITAM.
    57. Hari Venkatesh & Jyoti Kumari & Gourishankar S. Hiremath & Hiranmoy Roy, 2021. "Foreign Institutional Investors: Fair-Weather Friends or Smart Traders?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(2), pages 291-316, June.
    58. Park, Hyuna, 2015. "Emerging market hedge funds in the United States," Emerging Markets Review, Elsevier, vol. 22(C), pages 25-42.
    59. Kawai,Masahiro & Newfarmer,Richard S. & Schmukler,Sergio L., 2001. "Crisis and contagion in East Asia : nine lessons," Policy Research Working Paper Series 2610, The World Bank.
    60. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291.
    61. Todd Feldman, 2014. "Investor behaviour and contagion," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 725-735, April.
    62. Mr. Jorge A Chan-Lau & Ms. Li L Ong, 2005. "U.S. Mutual Fund Retail Investors in International Equity Markets: Is the Tail Wagging the Dog?," IMF Working Papers 2005/162, International Monetary Fund.
    63. Ding, Haoyuan & Zheng, Huanhuan & Zhu, Chenqi, 2015. "Equity funds in emerging Asia: Does size matter?," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 149-165.
    64. Laleh Samarbakhsh & Meet Shah, 2021. "Fixed income mutual fund performance during and after a crisis: a Canadian case," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 654-676, October.
    65. Volkhart Vincentz, 2002. "Entwicklungen und Tendenzen der Finanzsysteme in Osteuropa," Working Papers 237, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    66. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    67. Elkinawy, Susan, 2005. "Mutual fund preferences for Latin American equities surrounding financial crises," Emerging Markets Review, Elsevier, vol. 6(3), pages 211-237, September.
    68. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    69. Peltomäki, Jarkko & Graham, Michael & Hasselgren, Anton, 2018. "Investor attention to market categories and market volatility: The case of emerging markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 532-546.
    70. Flavia Barna & Dan-Constantin Dănuleţiu & Petru-Ovidiu Mura, 2009. "World Market of Investment Funds - Developments and Trends," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 41-52.
    71. Forbes, Kristin J., 2004. "The Asian flu and Russian virus: the international transmission of crises in firm-level data," Journal of International Economics, Elsevier, vol. 63(1), pages 59-92, May.
    72. Božović, Miloš, 2022. "Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    73. Purba Mukerji, 2018. "Vulnerability to spillovers," Empirical Economics, Springer, vol. 55(1), pages 323-348, August.

  15. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    2. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Habibullah, Muzafar Shah & Midi, Habshah, 2008. "Monetary exchange rate model: supportive evidence from nonlinear testing procedures," MPRA Paper 7293, University Library of Munich, Germany.
    3. 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.
    4. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    5. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    6. Müller, Christian, 2012. "A new interpretation of known facts: The case of two-way causality between trading and volatility," Economic Modelling, Elsevier, vol. 29(3), pages 664-670.
    7. Müller, Christian, 2015. "Radical uncertainty: Sources, manifestations and implications," Economics Discussion Papers 2015-41, Kiel Institute for the World Economy (IfW Kiel).
    8. Carl Bonham & Richard Cohen & Shigeyuki Abe, 2006. "The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination," Working Papers 200611, University of Hawaii at Manoa, Department of Economics.
    9. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.

  16. William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001. "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers 8491, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
    3. Ahmad Hassan Ahmad & Eric J. Pentecost, 2020. "Testing the ‘Fear of Floating’ Hypothesis: A Statistical Analysis for Eight African Countries," Open Economies Review, Springer, vol. 31(2), pages 407-430, April.
    4. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
    5. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    6. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    7. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    8. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    9. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    10. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    11. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
    12. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    13. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    14. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    15. Menzie D. Chinn & Michael J. Moore, 2011. "Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1599-1624, December.
    16. Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013. "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper 57673, University Library of Munich, Germany.
    17. 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.
    18. Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016. "Carry Trades, Order Flow, and the Forward Bias Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
    19. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    20. Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023. "The currency that came in from the cold: Capital controls and the information content of order flow," Journal of International Money and Finance, Elsevier, vol. 138(C).
    21. Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 175-196, March.
    22. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    23. Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2007. "The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1635-1650, November.
    24. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    25. Richard K. Lyons & Ganesh Viswanath-Natraj, 2020. "What Keeps Stablecoins Stable?," NBER Working Papers 27136, National Bureau of Economic Research, Inc.
    26. Rime, Dagfinn & Sucarrat, Genaro, 2007. "Exchange rate variability, market activity and heterogeneity," UC3M Working papers. Economics we077039, Universidad Carlos III de Madrid. Departamento de Economía.
    27. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    28. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    29. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    30. Phylaktis, Kate & Chen, Long, 2009. "Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 640-654, September.
    31. Staffan Ringbom, 2003. "Narrow Target Zones within Broad Zones: A Non-Speculative Exchange Rate Solution with Limited Resources," Open Economies Review, Springer, vol. 14(3), pages 319-341, July.
    32. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
    33. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers 2008-006, Federal Reserve Bank of St. Louis.
    34. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    35. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
    36. Rose, Andrew, 2010. "Exchange Rate Regimes in the Modern Era: Fixed, Floating, and Flaky," CEPR Discussion Papers 7987, C.E.P.R. Discussion Papers.
    37. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
    38. Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
    39. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    40. Nikola Gradojevic & Camillo Lento, 2012. "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper series 31_12, Rimini Centre for Economic Analysis.
    41. Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.
    42. Yoshihiro Kitamura, 2011. "The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 1-31, March.
    43. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    44. Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 557-574, February.
    45. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
    46. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    47. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    48. Mr. Jorge I Canales Kriljenko, 2003. "Foreign Exchange Intervention in Developing and Transition Economies: Results of a Survey," IMF Working Papers 2003/095, International Monetary Fund.
    49. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    50. Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
    51. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Foreign exchange market reactions to sovereign credit news," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 845-864.
    52. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    53. Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
    54. Carlos de Almeida Cardoso & Flávio Vilela Vieira, 2004. "Câmbio, Inflação E Juros Na Transição Do Regime Cambial Brasileiro: Uma Análise De Vetores Auto-Regressivos E Causalidade," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 080, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    55. David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
    56. Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    57. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    58. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    59. Chmelarova, Viera & Schnabl, Gunther, 2006. "Exchange rate stabilization in developed and underdeveloped capital markets," Working Paper Series 636, European Central Bank.
    60. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    61. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    62. Sviatoslav Rosov & F. Douglas Foster, 2014. "Measuring the information content of customer foreign exchange orders," Australian Journal of Management, Australian School of Business, vol. 39(2), pages 247-264, May.
    63. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    64. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    65. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    66. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    67. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    68. Gradojevic, Nikola, 2007. "The microstructure of the Canada/U.S. dollar exchange rate: A robustness test," Economics Letters, Elsevier, vol. 94(3), pages 426-432, March.
    69. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    70. Gradojevic, Nikola, 2012. "Frequency domain analysis of foreign exchange order flows," Economics Letters, Elsevier, vol. 115(1), pages 73-76.
    71. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
    72. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    73. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    74. Wu, Thomas, 2012. "Order flow in the South: Anatomy of the Brazilian FX market," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 310-324.

  17. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.

    Cited by:

    1. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    2. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
    3. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.
    4. Dominguez, Kathryn M., 2003. "Book review: Richard K. Lyons, The Microstructure Approach To Exchange Rates, MIT Press, 2001," Journal of International Economics, Elsevier, vol. 61(2), pages 467-471, December.
    5. Coenen, Gunter & Wieland, Volker, 2003. "The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 1071-1101, July.
    6. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.
    7. Priscilla Chiu, 2003. "Transparency versus constructive ambiguity in foreign exchange intervention," BIS Working Papers 144, Bank for International Settlements.
    8. Hans Werner Sinn & Frank Westermann, 2001. "The Deutschmark in Eastern Europe, black money, and the euro: on the size of the effect," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 54(19), pages 18-23, October.
    9. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    10. Rasmus Fatum & Michael R. King, 2005. "Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data," EPRU Working Paper Series 05-06, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    11. Biswajit Banerjee & Juraj Zeman & Ľudovít Ódor & William O. Riiska, 2018. "On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 442-474, September.
    12. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 12424, Banco de la Republica.
    13. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
    14. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    15. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention under Public Information: The Chilean Case," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 215-256, January.
    16. 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.
    17. Dominguez, Kathryn M.E., 2006. "When do central bank interventions influence intra-daily and longer-term exchange rate movements?," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
    18. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    19. Kiss M., Norbert, 2005. "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások [Effectiveness of central-bank intervention on foreign-exchange markets. International experienc," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 846-872.
    20. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "The Federal Reserve as an informed foreign-exchange trader: 1973-1995," Working Papers (Old Series) 1118, Federal Reserve Bank of Cleveland.
    21. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2009. "A brief empirical history of U.S. foreign-exchange intervention: 1973-1995," Working Papers (Old Series) 0903, Federal Reserve Bank of Cleveland.
    22. Guido M. Kuersteiner & David C. Phillips & Mauricio Villamizar-Villegas, 2016. "Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy," Borradores de Economia 964, Banco de la Republica de Colombia.
    23. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Papers (Old Series) 1113, Federal Reserve Bank of Cleveland.
    24. Piti Disyatat & Gabriele Galati, 2005. "The effectiveness of foreign exchange intervention in emerging market countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 97-113, Bank for International Settlements.
    25. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
    26. Hans-Werner Sinn & Wolfgang Nierhaus & Wolfgang Meister, 2001. "Bottoming out," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 54(24), pages 27-42, January.
    27. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.
    28. Domac, Ilker & Mendoza, Alfonso, 2004. "Is there room for foreign exchange interventions under an inflation targeting framework ? Evidence from Mexico and Turkey," Policy Research Working Paper Series 3288, The World Bank.
    29. Rasmus Fatum, 2010. "Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?," EPRU Working Paper Series 2010-07, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    30. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    31. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
    32. Disyatat, Piti & Galati, Gabriele, 2007. "The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 383-402, April.
    33. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Papers (Old Series) 0315, Federal Reserve Bank of Cleveland.
    34. Gonzalo Llosa & Vicente Tuesta & Marco Vega, 2006. "A BVAR Forecasting Model for Peruvian Inflation," Money Affairs, CEMLA, vol. 0(2), pages 117-141, July-Dece.
    35. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    36. Michel Beine & Christelle Lecourt, 2004. "Reported and secret interventions in the foreign exchange market," ULB Institutional Repository 2013/10427, ULB -- Universite Libre de Bruxelles.
    37. Hans-Werner Sinn, 2001. "Flight from the Old Euro-Area Currencies," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 2(04), pages 44-47, February.
    38. Kenneth Coates, 2006. "Measurement Problems in Household International Remittances," Money Affairs, CEMLA, vol. 0(2), pages 95-115, July-Dece.
    39. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.
    40. Portes, Richard, 2001. "The European Contribution to International Financial Stability," CEPR Discussion Papers 2956, C.E.P.R. Discussion Papers.
    41. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    42. Coenen, Guenter & Wieland, Volker, 2003. "The Zero-Interest-Rate and the Role of the Exchange Rate for Monetary Policy in Japan," CFS Working Paper Series 2003/09, Center for Financial Studies (CFS).
    43. Ho, Wai-Ming, 2008. "The welfare implications of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1360-1382, December.
    44. Ilker Domac & Alfonso Mendoza, 2002. "Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey," Discussion Papers 0206, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    45. Isabelle Strauss-Kahn, 2006. "Secrecy in Foreign exchange Interventions: the Point of View of a Practitioner in a European Context," Money Affairs, CEMLA, vol. 0(2), pages 159-179, July-Dece.
    46. Trevor Campbell, 2006. "The Impact of Barbados’ Investment Climate on its Foreign Direct Investment Inflows," Money Affairs, CEMLA, vol. 0(2), pages 143-157, July-Dece.
    47. Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," EEAG Report on the European Economy, CESifo, vol. 0, pages 27-42, April.

  18. Graciela Kaminsky & Richard K. Lyons & Sergio Schmukler, 2000. "Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets," NBER Working Papers 7855, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    2. Valpy Fitzgerald, 2002. "The Instability of the Emerging Market Assets Demand Schedule," WIDER Working Paper Series DP2002-80, World Institute for Development Economic Research (UNU-WIDER).
    3. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    4. Goldstein, Itay & Razin, Assaf, 2015. "Three Branches of Theories of Financial Crises," Foundations and Trends(R) in Finance, now publishers, vol. 10(2), pages 113-180, 30.
    5. Woochan Kim & Shang-Jin Wei, 1999. "Offshore Investment Funds: Monsters in Emerging Markets?," NBER Working Papers 7133, National Bureau of Economic Research, Inc.
    6. Thomas D. Willett & Aida Budiman & Arthur Denzau & Gab‐Je Jo & Cesar Ramos & John Thomas, 2004. "The Falsification of Four Popular Hypotheses About the Asian Crisis," The World Economy, Wiley Blackwell, vol. 27(1), pages 25-44, January.
    7. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2014. "Institutional investors and long-term investment : evidence from Chile," Policy Research Working Paper Series 6922, The World Bank.
    8. Yung, Kenneth & Jian, Yi, 2017. "Effects of the shareholder base on firm behavior and firm value in China," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 370-385.
    9. David Hillier & Tiago Loncan, 2019. "Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil," European Financial Management, European Financial Management Association, vol. 25(1), pages 181-206, January.
    10. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    11. Graciela Kaminsky & Amine Mati & Nada Choueiri, 2009. "Thirty Years of Currency Crises in Argentina: External Shocks or Domestic Fragility?," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2009), pages 81-123, August.
    12. Didier, Tatiana & Hevia, Constantino & Schmukler, Sergio L., 2011. "How resilient and countercyclical were emerging economies to the global financial crisis ?," Policy Research Working Paper Series 5637, The World Bank.
    13. Berna Kirkulak & Çagnur Kaytmaz Balsari, 2009. "Inflation Accounting and Stock Returns: Evidence From Istanbul Stock Exchange (ISE)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(42), pages 19-34.
    14. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21, december.
    15. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
    16. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets : The Case of Brazil in 2002," The Warwick Economics Research Paper Series (TWERPS) 926, University of Warwick, Department of Economics.
    17. Hasan F. Baklaci, 2009. "An Empirical Examination of Bilateral Interaction Between Foreign Investors’ Trading and Returns in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(42), pages 35-58.
    18. Ladekarl, Jeppe & Zervos, Sara, 2004. "Housekeeping and plumbing: the investability of emerging markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 267-294, September.
    19. Manuel Agosin & Franklin Huaita, 2009. "Overreaction in capital flows to emerging markets: Booms and sudden stops," Working Papers wp295, University of Chile, Department of Economics.
    20. Mohammad Karimi & Marcel-Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Post-Print hal-03528952, HAL.
    21. Pedraza, Alvaro & Pulga, Fredy & Vasquez, Jose, 2020. "Costly index investing in foreign markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    22. Kaminsky,Graciela & Schmukler,Sergio L., 2001. "Emerging markets instability: do sovereign ratings affect country risk and stock returns?," Policy Research Working Paper Series 2678, The World Bank.
    23. Luis Opazo & Claudio Raddatz & Sergio Schmukler, 2009. "The Long And The Short Of Emerging Market Debt," Working Papers Central Bank of Chile 530, Central Bank of Chile.
    24. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
    25. Nathan Converse & Enrico Mallucci, 2019. "Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios," International Finance Discussion Papers 1261, Board of Governors of the Federal Reserve System (U.S.).
    26. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
    27. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
    28. Xufeng Liu & Die Wan, 2022. "Does short‐selling affect mutual fund shareholdings? Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1887-1923, April.
    29. Shang-Jin Wei & Mr. Gaston Gelos, 2002. "Transparency and International Investor Behavior," IMF Working Papers 2002/174, International Monetary Fund.
    30. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
    31. Francisco Ceballos & Tatiana Didier & Sergio L. Schmukler, 2012. "Financial Globalization in Emerging Countries : Diversification vs. Offshoring," Finance Working Papers 23350, East Asian Bureau of Economic Research.
    32. Nathan Converse & Eduardo Levy Yeyati & Tomas Williams, 2021. "How ETFs amplify the global financial cycle in emerging markets," Working Papers 57, Red Nacional de Investigadores en Economía (RedNIE).
    33. Valpy FitzGerald & Derya Krolzig, 2003. "Modeling the Demand for Emerging Market Assets," OFRC Working Papers Series 2003fe10, Oxford Financial Research Centre.
    34. Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2002. "Two Hundred Years of Contagion," MPRA Paper 13229, University Library of Munich, Germany.
    35. Bonizzi, Bruno, 2015. "Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand," MPRA Paper 61784, University Library of Munich, Germany.
    36. Humayun Kabir, M. & Shakur, Shamim, 2018. "Regime-dependent herding behavior in Asian and Latin American stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 60-78.
    37. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
    38. Kaoru Hosono & Miho Takizawa & Kotaro Tsuru, 2016. "International Transmission of the 2007–2009 Financial Crisis: Evidence from Japan," The Japanese Economic Review, Springer, vol. 67(3), pages 295-328, September.
    39. Karolyi, G. Andrew & McLaren, Kirsty J., 2017. "Racing to the exits: International transmissions of funding shocks during the Federal Reserve's taper experiment," Emerging Markets Review, Elsevier, vol. 32(C), pages 96-115.
    40. Williamson, John, 2003. "Proposals for curbing the boom-bust cycle in the supply of capital to emerging markets," Copublicaciones, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 1791.
    41. Shimizu, Junko & Ogawa, Eiji, 2005. "Risk properties of AMU denominated Asian bonds," Journal of Asian Economics, Elsevier, vol. 16(4), pages 590-611, August.
    42. Graciela L. Kaminsky & Carmen Reinhart, 2003. "The Center and the Periphery: The Globalization of Financial Turmoil," NBER Working Papers 9479, National Bureau of Economic Research, Inc.
    43. Research Group, Development, 2008. "Lessons from World Bank Research on Financial Crises," Policy Research Working Paper Series 4779, The World Bank.
    44. Fernando Broner & Gaston Gelos & Carmen M. Reinhart, 2004. "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue Jun, pages 1-34.
    45. Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
    46. Zihui Yang & Yinggang Zhou, 2017. "Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes," Management Science, INFORMS, vol. 63(2), pages 333-354, February.
    47. Rudiger Ahrend & Antoine Goujard, 2012. "International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil?: Asset Price Contagion During the Global Financial ," OECD Economics Department Working Papers 969, OECD Publishing.
    48. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    49. Michael Frenkel & Lukas Menkhoff, 2004. "Are Foreign Institutional Investors Good for Emerging Markets?," The World Economy, Wiley Blackwell, vol. 27(8), pages 1275-1293, August.
    50. Klein, Arne C., 2013. "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 291-304.
    51. Bartosz Gębka & Dobromił Serwa, 2012. "Liquidity needs, private information, feedback trading: verifying motives to trade," NBP Working Papers 119, Narodowy Bank Polski.
    52. Naranjo, Andy & Porter, Burt, 2010. "Risk factor and industry effects in the cross-country comovement of momentum returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 275-299, March.
    53. Guo, Liang, 2016. "Are U.S. investors blindly chasing returns in foreign countries?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 309-334.
    54. Tsai, Pei-Jung, 2010. "Country funds and the role of international equity flows in pricing and in premiums and discounts," Global Finance Journal, Elsevier, vol. 21(1), pages 43-70.
    55. Didier, Tatiana & Mauro, Paolo & Schmukler, Sergio L., 2008. "Vanishing financial contagion?," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 775-791.
    56. Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
    57. HOSONO Kaoru & TAKIZAWA Miho & TSURU Kotaro, 2013. "International Transmission of the 2008-09 Financial Crisis: Evidence from Japan," Discussion papers 13010, Research Institute of Economy, Trade and Industry (RIETI).
    58. Mark Aguiar & Gita Gopinath, 2004. "Defaultable debt, interest rates, and the current account," Working Papers 04-5, Federal Reserve Bank of Boston.
    59. Raddatz, Claudio & Schmukler, Sergio L., 2008. "Pension Funds And Capital Market Development:How Much Bang For The Buck?," Policy Research Working Paper Series 4787, The World Bank.
    60. Kaufmann, Daniel & Mehrez, Gil & Schmukler, Sergio, 1999. "Predicting currency fluctuations and crises - do resident firms have an informational advantage?," Policy Research Working Paper Series 2259, The World Bank.
    61. Lee, Kyuseok, 2017. "Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 266-284.
    62. Stefan Avdjiev & Stephan Binder & Ricardo Sousa, 2018. "External debt composition and domestic credit cycles," Working Papers 28, European Stability Mechanism.
    63. Ciccone, Julien & Marchiori, Luca & Morhs, Romuald, 2022. "The flow-performance relationship of global investment funds," Journal of International Money and Finance, Elsevier, vol. 127(C).
    64. Yafeng Qin & Min Bai, 2014. "Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 237-261, June.
    65. Claudio Raddatz & Sergio Schmukler, 2013. "Deconstructing Herding: Evidence from Pension Fund Investment Behavior," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 99-126, February.
    66. Kristin J. Forbes, 2002. "Cheap Labor Meets Costly Capital: The Impact of Devaluations on Commodity Firms," NBER Working Papers 9053, National Bureau of Economic Research, Inc.
    67. Naranjo, Andy & Porter, Burt, 2007. "Including emerging markets in international momentum investment strategies," Emerging Markets Review, Elsevier, vol. 8(2), pages 147-166, May.
    68. Karolyi, G. Andrew & Ng, David T. & Prasad, Eswar S., 2020. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1369-1414, June.
    69. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    70. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    71. Junko Shimizu & Eiji Ogawa, 2004. "Risk Properties of AMU denominated Asian Bonds," Hi-Stat Discussion Paper Series d04-45, Institute of Economic Research, Hitotsubashi University.
    72. Hiremath, Gourishankar S. & Kattuman, Paul, 2017. "Foreign portfolio flows and emerging stock market: Is the midnight bell ringing in India?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 544-558.
    73. Yan Liang, 2011. "Money-manager capitalism, capital flows and development in emerging market economies: a Post-Keynesian Institutionalist analysis," Chapters, in: Charles J. Whalen (ed.), Financial Instability and Economic Security after the Great Recession, chapter 9, pages 179-201, Edward Elgar Publishing.
    74. Ciarlone, Alessio & Miceli, Valeria, 2016. "Escaping financial crises? Macro evidence from sovereign wealth funds' investment behaviour," Emerging Markets Review, Elsevier, vol. 27(C), pages 169-196.
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    546. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
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    548. Tille, Cédric & van Wincoop, Eric, 2014. "International capital flows under dispersed private information," Journal of International Economics, Elsevier, vol. 93(1), pages 31-49.
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    551. Seung Chan Ahn & Michael Melvin, 2007. "Exchange Rates and FOMC Days," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1245-1266, August.
    552. Alexis Derviz, 2023. "Foreign Exchange Implications of CBDCs and Their Integration via Bridge Coins," Working Papers 2023/7, Czech National Bank.
    553. Lou, Dong, 2020. "Informed Trading in Government Bond Markets," CEPR Discussion Papers 15028, C.E.P.R. Discussion Papers.
    554. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    555. Guo, Zi-Yi, 2017. "Martingale Regressions for a Continuous Time Model of Exchange Rates," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 12(2), pages 40-45.
    556. Kevin Evans & Alan Speight, 2011. "Intraday euro exchange rates and international macroeconomic announcements," The European Journal of Finance, Taylor & Francis Journals, vol. 17(2), pages 83-110.
    557. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    558. Mauro Bambi & Sara Eugeni, 2018. "Exchange rates, sunspots and cycles," Working Papers 2018_05, Durham University Business School.
    559. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
    560. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
    561. Bonpasse, Morrison, 2009. "The single global currency - common cents for the world (2008 Edition)," MPRA Paper 14756, University Library of Munich, Germany.
    562. Hippolyte Weneyam Balima, 2020. "Coups d'état and the foreign exchange market," The World Economy, Wiley Blackwell, vol. 43(7), pages 1928-1950, July.
    563. Gradojevic, Nikola, 2012. "Frequency domain analysis of foreign exchange order flows," Economics Letters, Elsevier, vol. 115(1), pages 73-76.
    564. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers 03-28, Bank of Canada.
    565. Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'économie 11.03, Université de Lausanne, Faculté des HEC, Département d’économie.
    566. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute.
    567. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York.
    568. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    569. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    570. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
    571. Dr. Ioannis N. Kallianiotis & Dr. Dean Frear, 2006. "Assets Return and Risk and Exchange Rate Trends: An Ex Post Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 15-34.
    572. Wu, Thomas, 2012. "Order flow in the South: Anatomy of the Brazilian FX market," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 310-324.
    573. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2657-2665, October.
    574. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.
    575. Xu, Juanyi, 2010. "Noise traders, exchange rate disconnect puzzle, and the Tobin tax," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 336-357, March.
    576. Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank.
    577. Ales Bulir, 2003. "Some Exchange Rates Are More Stable than Others: Short-Run Evidence from Transition Countries," Working Papers 2003/05, Czech National Bank.
    578. Brause, Alexander, 2008. "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers 79, University of Würzburg, Department of Economics.
    579. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
    580. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
    581. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
    582. Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015. "Modelling the Australian Dollar," RBA Research Discussion Papers rdp2015-12, Reserve Bank of Australia.
    583. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, University Library of Munich, Germany.
    584. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Leibniz Centre for European Economic Research.
    585. Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," EEAG Report on the European Economy, CESifo, vol. 0, pages 27-42, April.
    586. Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.

  20. Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons., 1998. "Search Costs: The Neglected Spread Component," Research Program in Finance Working Papers RPF-285, University of California at Berkeley.

    Cited by:

    1. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
    2. Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
    3. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 141-159, December.
    4. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," NBER Working Papers 7524, National Bureau of Economic Research, Inc.
    5. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
    6. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market," Staff Working Papers 99-11, Bank of Canada.

  21. Richard K. Lyons., 1997. "Profits and Position Control: A Week of FX Dealing," Research Program in Finance Working Papers RPF-273, University of California at Berkeley.

    Cited by:

    1. Adrian E. Tschoegl, 2000. "The Key to Risk Management: Management," Center for Financial Institutions Working Papers 99-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    3. Alogoskoufis, George & Portes, Richard & Rey, Hélène, 1997. "The Emergence of the Euro as an International Currency," CEPR Discussion Papers 1741, C.E.P.R. Discussion Papers.
    4. Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Hannover Economic Papers (HEP) dp-276, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Kahn, Charles M. & Roberds, William, 2001. "The CLS bank: a solution to the risks of international payments settlement?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 191-226, June.
    6. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc.
    7. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Traders, Market Microstructure and Exchange Rate Dynamics," NBER Working Papers 7416, National Bureau of Economic Research, Inc.

  22. Ito, T. & Lyons, R. & Melvin, M.T., 1997. "Is There Private Information on the FX Market? The Tokyo Experiment," Papers 97-04, Economisch Institut voor het Midden en Kleinbedrijf-.

    Cited by:

    1. John A. Carlson & Carol L. Osler, 1996. "Rational speculators and exchange rate volatility," Staff Reports 13, Federal Reserve Bank of New York.
    2. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    3. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    4. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
    5. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    6. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    7. Robert Weiner, 2006. "Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market," RFF Working Paper Series dp-06-31, Resources for the Future.
    8. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    9. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    10. Carlson, John A. & Osler, C. L., 2000. "Rational speculators and exchange rate volatility1," European Economic Review, Elsevier, vol. 44(2), pages 231-253, February.
    11. Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc.
    12. Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
    13. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    14. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
    15. Wei, S.J. & Kim, J., 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," Papers 5, Chicago - Graduate School of Business.
    16. Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Hannover Economic Papers (HEP) dp-276, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    17. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38.
    18. Weiner, Robert J., 2000. "Sheep in Wolves' Clothing?," Cahiers de recherche 0001, GREEN.
    19. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
    20. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
    21. Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1157-1189.
    22. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    23. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Papers (Old Series) 9918, Federal Reserve Bank of Cleveland.
    24. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
    25. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, "undated". "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
    26. Yuko Hashimoto, 2004. "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings 679, Econometric Society.
    27. Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May.

  23. Richard K. Lyons & Andrew K. Rose, 1995. "Explaining Forward Exchange Bias..Intraday," NBER Working Papers 4982, National Bureau of Economic Research, Inc.

    Cited by:

    1. Angelo Baglioni & Andrea Monticini, 2010. "Why does the Interest Rate Decline Over the Day? Evidence from the Liquidity Crisis," DEP - series of economic working papers 4/2010, University of Genoa, Research Doctorate in Public Economics.
    2. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
    3. 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.
    4. Chaboud, Alain P. & Wright, Jonathan H., 2005. "Uncovered interest parity: it works, but not for long," Journal of International Economics, Elsevier, vol. 66(2), pages 349-362, July.
    5. Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
    6. De Paoli, Bianca & Sondergaard, Jens, 2009. "Foreign exchange rate risk in a small open economy," Bank of England working papers 365, Bank of England.

  24. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    2. Hau, Harald & Killeen, William & Moore, Michael, 2002. "The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.
    3. M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/474, Ghent University, Faculty of Economics and Business Administration.
    4. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    5. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System (Subsequently published in "Journal of the Japanese and International Economies&qu," CARF F-Series CARF-F-064, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Wang, Jian-Xin, 2001. "Quote revision and information flow among foreign exchange dealers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 115-136, June.
    7. Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
    8. Benjamin Cohen & Hyun Song Shin, 2002. "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 148-180, Bank for International Settlements.
    9. Mathias Drehmann & Vladyslav Sushko, 2022. "The global foreign exchange market in a higher-volatility environment," BIS Quarterly Review, Bank for International Settlements, December.
    10. Janusz Brzeszczynski & Robert Kelm, 2004. "Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland," CERT Discussion Papers 0409, Centre for Economic Reform and Transformation, Heriot Watt University.
    11. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    12. Jeffrey Frankel., 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers C95-058, University of California at Berkeley.
    13. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    14. Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
    15. Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023. "The currency that came in from the cold: Capital controls and the information content of order flow," Journal of International Money and Finance, Elsevier, vol. 138(C).
    16. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    17. Alogoskoufis, George & Portes, Richard & Rey, Hélène, 1997. "The Emergence of the Euro as an International Currency," CEPR Discussion Papers 1741, C.E.P.R. Discussion Papers.
    18. Mr. Jorge I Canales Kriljenko & Mr. Karl F Habermeier, 2004. "Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study," IMF Working Papers 2004/147, International Monetary Fund.
    19. Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc.
    20. Andreas Fischer, 2003. "Reuters News Reports versus Official Interventions: A Cautionary Warning," Working Papers 03.06, Swiss National Bank, Study Center Gerzensee.
    21. Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
    22. Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002. "Dividing the Pie," ERIM Report Series Research in Management ERS-2002-101-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    23. Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
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  26. Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.

    Cited by:

    1. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
    2. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
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    5. Victoria Saporta, 1997. "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England.

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    13. Sophie Larribeau & Agnès Bénassy-Quéré & R. Macdonald, 2003. "Models of exchange rate expectations : how much heterogeneity ?," Post-Print halshs-00069655, HAL.
    14. Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate," Working Papers 2001-03, CEPII research center.

  29. Bartelsman, E.J. & Caballero, R.J. & Lyons, R.K., 1991. "Short and Long Run Externalities," Papers 91-18, Columbia - Graduate School of Business.

    Cited by:

    1. Susanto Basu & John G. Fernald, 1994. "Are apparent productive spillovers a figment of specification error?," International Finance Discussion Papers 463, Board of Governors of the Federal Reserve System (U.S.).
    2. Tor Jakob Klette & Zvi Griliches, 1994. "The Inconsistency of Common Scales Estimators when Output Prices are Unobserved and Endogenous," Discussion Papers 127, Statistics Norway, Research Department.
    3. Quella, Núria, 2007. "Intra- and Inter-Sectoral Knowledge Spillovers and TFP Growth Rates," MPRA Paper 2853, University Library of Munich, Germany.
    4. Edward N. Wolff, 2011. "Spillovers, Linkages, and Productivity Growth in the US Economy, 1958 to 2007," NBER Working Papers 16864, National Bureau of Economic Research, Inc.
    5. Xavier Sala-i-Martin, 1995. "A positive theory of social security," Economics Working Papers 108, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Ernesto Felli & Giovanni Tria, 1997. "Externalities, Cross-Sectoral Spillovers and Productivity Growth," Open Economies Review, Springer, vol. 8(2), pages 171-188, April.
    7. Klette, T.J., 1998. "Market Power, Scale Economies and Productivity: Estimates from a Panel of Establishment Data," Memorandum 15/1998, Oslo University, Department of Economics.
    8. Klaus Neusser, 1993. "Dynamics of Total Factor Productivities," Revue Économique, Programme National Persée, vol. 44(2), pages 389-418.
    9. Nuria Quella, 2009. "Knowledge Spillovers and TFP Growth Rates," Department of Economics Working Papers 09-03, Stony Brook University, Department of Economics.
    10. Catherine J. Morrison Paul & Donald Siegel, 1999. "Estimation of Scale Economies Underlying Growth and Productivity: The Empirical Implications of Data Aggregation," Southern Economic Journal, John Wiley & Sons, vol. 65(4), pages 739-756, April.
    11. J. David Richardson, 1992. ""New" Trade Theory and Policy a Decade Old: Assessment in a Pacific Context," NBER Working Papers 4042, National Bureau of Economic Research, Inc.
    12. Peng, Ling & Hong, Yongmiao, 2013. "Productivity spillovers among linked sectors," China Economic Review, Elsevier, vol. 25(C), pages 44-61.
    13. Xavier Sala-i-Martin, 1992. "Transfers," NBER Working Papers 4186, National Bureau of Economic Research, Inc.
    14. Ortíz Quevedo, Carlos Humberto, 1993. "Production ´Roundaboutness´and Economic Growth: Some Empirical Evidence," Documentos de Trabajo 3994, Universidad del Valle, CIDSE.
    15. Semmler, Will & Gong, Gang, 1996. "Estimating parameters of real business cycle models," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 301-325, September.
    16. Sergio Aquino de Souza, 2005. "Estimating Markups From Plant-Level Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 098, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  30. Eric J. Bartelsman & Ricardo J. Caballero & Richard K. Lyons, 1991. "Sourcing externalities," Finance and Economics Discussion Series 153, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Elise Brezis & Daniel Tsiddon, 1998. "Economic growth, leadership and capital flows: the leapfrogging effect," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 7(3), pages 261-277.

  31. Caballero, R.J. & Lyons, R.K., 1991. "Some Evidence of Productivity Linkages in Manufacturing," Papers fb-27, Columbia - Graduate School of Business.

    Cited by:

    1. Tor Jakob Klette & Zvi Griliches, 1994. "The Inconsistency of Common Scales Estimators when Output Prices are Unobserved and Endogenous," Discussion Papers 127, Statistics Norway, Research Department.
    2. Howard Pack, 1994. "Endogenous Growth Theory: Intellectual Appeal and Empirical Shortcomings," Journal of Economic Perspectives, American Economic Association, vol. 8(1), pages 55-72, Winter.
    3. Lee, Kevin, 1997. "Modelling economic growth in the UK: An econometric case for disaggregated sectoral analysis," Economic Modelling, Elsevier, vol. 14(3), pages 369-394, July.

  32. Baldwin, R.E. & Lyons, R.K., 1991. "Exchange Rate Hysteresis : Large Versus Small Policy Misalignments," Papers fb-28, Columbia - Graduate School of Business.

    Cited by:

    1. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1996. "Inflows of capital to developing countries in the 1990s," MPRA Paper 13707, University Library of Munich, Germany.
    2. Fabio Ghironi & Marc J. Melitz, 2005. "International Trade and Macroeconomic Dynamics with Heterogeneous Firms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(3), pages 865-915.
    3. 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.
    4. Belke, Ansgar & Volz, Ulrich, 2019. "The Yen exchange rate and the hollowing out of the Japanese industry," Ruhr Economic Papers 818, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    5. Boehe, Dirk Michael, 2014. "Strategic hedging: Evidence from Brazilian exporters," Journal of World Business, Elsevier, vol. 49(3), pages 290-300.
    6. Belke, Ansgar & Göcke, Matthias & Werner, Laura, 2014. "Hysteresis Effects in Economics – Different Methods for Describing Economic Path-dependence," Ruhr Economic Papers 468, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Hartmann, Daniel & Pierdzioch, Christian, 2006. "Nonlinear Links between Stock Returns and Exchange Rate Movements," MPRA Paper 558, University Library of Munich, Germany.
    8. Benoît Cœuré & Antoine Magnier, 1996. "Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 113-146.
    9. Cécile Couharde & Issiaka Coulibaly & Olivier Damette, 2012. "La dynamique d'ajustement des taux de change réels dans la zone franc CFA," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 545-555.
    10. Delgado, Francisco & Dumas, Bernard & Puopolo, Giovanni W., 2015. "Hysteresis bands on returns, holding period and transaction costs," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 86-100.
    11. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
    12. Aziz, Nusrate & Ahmad, Ahmad Hassan, 2018. "Exchange rate hysteresis in the UK imports from the South Asian Countries," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 159-178.
    13. Göcke, Matthias, 2012. "Play-hysteresis in supply as part of a market model," Discussion Papers 61, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    14. Angelos Antzoulatos, 2011. "Greece in 2010: A Tragedy Without(?) Catharsis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 241-257, August.
    15. Hughes Hallett, A. J. & Piscitelli, Laura, 2002. "Testing for hysteresis against nonlinear alternatives," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 303-327, December.
    16. Ibrahim A. Elbadawi & Raimundo Soto, "undated". "Real Exchange Rates and Macroeconomic Adjustment in Sub-Sahara Africa and Other Developing Countries," ILADES-UAH Working Papers inv093, Universidad Alberto Hurtado/School of Economics and Business.
    17. Roberts, Mark A. & McCausland, W. David, 1999. "Multiple international debt equilibria and irreversibility," Economic Modelling, Elsevier, vol. 16(2), pages 179-188, April.

  33. Baldwin, Richard & Lyons, Richard K, 1990. "External Economies and European Integration: The Potential for Self-fulfilling Expectations," CEPR Discussion Papers 471, C.E.P.R. Discussion Papers.

    Cited by:

    1. Rita De Siano & Marcella D'Uva & Giovanna Messina, 1999. "Aree Monetarie Ottimali: Literature Review," Working Papers 2_1999, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.

  34. Ricardo J. Caballero & Richard K. Lyons, 1989. "The Role of External Economies in U.S. Manufacturing," NBER Working Papers 3033, National Bureau of Economic Research, Inc.

    Cited by:

    1. Sniekers, F., 2014. "Persistence and volatility of Beveridge cycles," CeNDEF Working Papers 14-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Eric J. Bartelsman & Ricardo J. Caballero & Richard K. Lyons, 1991. "Short and Long Run Externalities," NBER Working Papers 3810, National Bureau of Economic Research, Inc.
    3. Susanto Basu & John G. Fernald, 1994. "Are apparent productive spillovers a figment of specification error?," International Finance Discussion Papers 463, Board of Governors of the Federal Reserve System (U.S.).
    4. Susanto Basu & John Fernald, 2001. "Why Is Productivity Procyclical? Why Do We Care?," NBER Chapters, in: New Developments in Productivity Analysis, pages 225-302, National Bureau of Economic Research, Inc.
    5. Yih‐Chyi Chuang, 1996. "Identifying the sources of growth in Taiwan's manufacturing industry," Journal of Development Studies, Taylor & Francis Journals, vol. 32(3), pages 445-463.
    6. Gene M. Grossman & Esteban Rossi-Hansberg, 2010. "External Economies and International Trade Redux," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(2), pages 829-858.
    7. Miguel Jimenez & Domenico Marchetti, 2002. "Interpreting the procyclical productivity of manufacturing sectors: can we really rule out external effects?," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 805-817.
    8. Petri Rouvinen, 2002. "R&D—Productivity Dynamics: Causality, Lags, and ‘Dry Holes’," Journal of Applied Economics, Taylor & Francis Journals, vol. 5(1), pages 123-156, May.
    9. Mei Li, 2007. "Investment Complementarities, Coordination Failure And Systemic Bankruptcy," Working Paper 1149, Economics Department, Queen's University.
    10. Benhabib Jess & Farmer Roger E. A., 1994. "Indeterminacy and Increasing Returns," Journal of Economic Theory, Elsevier, vol. 63(1), pages 19-41, June.
    11. Sun, Sizhong, 2009. "Impact of aggregation on measuring FDI spillovers: a Monte Carlo appraisal," MPRA Paper 15340, University Library of Munich, Germany.
    12. Susanto Basu, 1994. "Intermediate Goods and Business Cycles: Implications for Productivity and Welfare," NBER Working Papers 4817, National Bureau of Economic Research, Inc.
    13. Rouvinen, Petri, 1999. "Issues in R&D-Productivity. Causality, Lags, and 'Dry Holes'," Discussion Papers 694, The Research Institute of the Finnish Economy.
    14. Ernst R. Berndt & Bengt Hansson, 1991. "Measuring the Contribution of Public Infrastructure Capital in Sweden," NBER Working Papers 3842, National Bureau of Economic Research, Inc.
    15. Ali Abcha, 2014. "Imperfect competition, government spending and estimated markup," Working Papers hal-04141357, HAL.
    16. Baldwin, Richard, 1990. "Measurable Dynamic Gains from Trade," Working Paper Series 270, Research Institute of Industrial Economics.
    17. Antulio N. Bomfim, "undated". "\"Forecasting the Forecasts of Others:\" Expectational Heterogeneity and Aggregate Dynamics," Finance and Economics Discussion Series 1996-41, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    18. Richard Baldwin, 1989. "The Growth Effects of 1992," NBER Working Papers 3119, National Bureau of Economic Research, Inc.
    19. J. Bradford De Long, 1990. "Interpreting Procyclical Productivity Movements: Evidence from a Cross-Nation Cross-Industry Panel," J. Bradford De Long's Working Papers _136, University of California at Berkeley, Economics Department.
    20. Marianne Baxter & Robert G. King, 1991. "Productive externalities and business cycles," Discussion Paper / Institute for Empirical Macroeconomics 53, Federal Reserve Bank of Minneapolis.
    21. Azariadis, Costas & Reichlin, Pietro, 1996. "Increasing returns and crowding out," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 847-877, May.
    22. Ben S. Bernanke & Martin L. Parkinson, 1990. "Procyclical Labor Productivity and Competing Theories of the Business Cycle: Some Evidence from Interwar U.S. Manufacturing Industries," NBER Working Papers 3503, National Bureau of Economic Research, Inc.
    23. Dale T. Mortensen, 1991. "Equilibrium Unemployment Cycles," Discussion Papers 939, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    24. Bomfim, Antulio N., 2001. "Heterogeneous forecasts and aggregate dynamics," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 145-161, February.
    25. Guerrazzi, Marco, 2011. "The animal spirits hypothesis and the Benhabib-Farmer condition for indeterminacy," MPRA Paper 30673, University Library of Munich, Germany.
    26. Nigel Driffield & Max Munday & Annette Roberts, 2002. "Foreign Direct Investment, Transactions Linkages, and the Performance of the Domestic Sector," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 9(3), pages 335-351.
    27. Hansen, Sten & Lindström, Tomas, 2009. "Is rising RTS a figment of poor data?," Journal of Monetary Economics, Elsevier, vol. 56(3), pages 378-389, April.
    28. Richard Baldwin, 1989. "Measuring 1992's Medium-Term Dynamic Effects," NBER Working Papers 3166, National Bureau of Economic Research, Inc.
    29. Anwar, Sajid & Sun, Sizhong, 2014. "Heterogeneity and curvilinearity of FDI-related productivity spillovers in China's manufacturing sector," Economic Modelling, Elsevier, vol. 41(C), pages 23-32.
    30. Ali Abcha, 2014. "Imperfect competition, government spending and estimated markup," EconomiX Working Papers 2014-11, University of Paris Nanterre, EconomiX.
    31. Rosina Moreno Serrano & Manuel Artis Ortuno & Enrique Lopez Bazo & Jordi Surinach Caralt, 1997. "Evidence on the complex link between infrastructure and regional growth," Working Papers in Economics 19, Universitat de Barcelona. Espai de Recerca en Economia.
    32. Mei Li, 2007. "Coordination Failure In Technological Progress, Economic Growth And Volatility," Working Paper 1147, Economics Department, Queen's University.
    33. Burnside, Craig, 1996. "Production function regressions, returns to scale, and externalities," Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 177-201, April.
    34. Rosina Moreno & Enrique López-Bazo & Esther Vayá & Manuel Artís, 2004. "External Effects and Cost of Production," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax & Sergio J. Rey (ed.), Advances in Spatial Econometrics, chapter 14, pages 297-317, Springer.
    35. DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 08-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    36. Xavier Sala-i-Martin, 1992. "Transfers," NBER Working Papers 4186, National Bureau of Economic Research, Inc.
    37. Nigel Driffield, 2006. "On the search for spillovers from foreign direct investment (FDI) with spatial dependency," Regional Studies, Taylor & Francis Journals, vol. 40(1), pages 107-119.
    38. Bomfim, Antulio N., 2001. "Measurement error in general equilibrium: the aggregate effects of noisy economic indicators," Journal of Monetary Economics, Elsevier, vol. 48(3), pages 585-603, December.
    39. Lindström, Tomas, 1999. "External Economies at the Firm Level: Evidence from Swedish Manufacturing," Working Paper Series 89, Sveriges Riksbank (Central Bank of Sweden).
    40. Io Segoura, 1998. "Return to scale and external economies: empirical evidence from Greek two-digit manufacturing industries," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 485-490.
    41. Renelt, David, 1991. "Economic growth : a review of the theoretical and empirical literature," Policy Research Working Paper Series 678, The World Bank.
    42. Berndt, Ernst & Hansson, Bengt, 1992. "Measuring the Contribution of Capital in Sweden," Working Paper Series 365, Research Institute of Industrial Economics.
    43. Aristomène Varoudakis & Thierry Latreille, 1997. "Les facteurs structurels de la compétitivité manufacturière. Une analyse en données de panel pour le Sénégal," Revue Économique, Programme National Persée, vol. 48(3), pages 471-480.
    44. de la Torre, Augusto & Didier, Tatiana & Pinat, Magali, 2014. "Can Latin America tap the globalization upside ?," Policy Research Working Paper Series 6837, The World Bank.
    45. Ignacio Hernando & Javier Valles, 1994. "Algunas diferencias en la productividad de las empresas manufactureras españolas," Investigaciones Economicas, Fundación SEPI, vol. 18(1), pages 117-141, January.

  35. Richard Baldwin & Richard Lyons, 1989. "Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments," NBER Working Papers 2828, National Bureau of Economic Research, Inc.

    Cited by:

    1. Matthias Goecke, 2019. "Economic Hysteresis with Multiple Inputs - A Simplified Treatment," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 17(1-B), pages 98-113.
    2. Richard E. Baldwin, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands," NBER Working Papers 3319, National Bureau of Economic Research, Inc.
    3. Belke, Ansgar & Frenzel Baudisch, Coletta & Göcke, Matthias, 2019. "Interest Rate Bands of Inaction and Play-Hysteresis in Domestic Investment - Evidence for the Euro Area," GLO Discussion Paper Series 374, Global Labor Organization (GLO).
    4. Belke, Ansgar & Göcke, Matthias & Werner, Laura, 2014. "Hysteresis Effects in Economics – Different Methods for Describing Economic Path-dependence," Ruhr Economic Papers 468, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    5. Alessandra Pelloni, 1993. "Long-run consequences of finite exchange rate bubbles," Open Economies Review, Springer, vol. 4(1), pages 5-26, March.
    6. Vesala, Jukka, 1992. "Incomplete exchange rate pass-through and hysteresis in trade: A survey of recent theories and an empirical study of export pricing of Finnish paper manufacturies," Bank of Finland Research Discussion Papers 29/1992, Bank of Finland.
    7. Ogawa, Eiji, 1991. "Import Pricing under Volatility and Misalignments of Exchange Rates," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 26(1), pages 15-28, December.
    8. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.

  36. Richard Baldwin & Richard K. Lyons, 1988. "The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices," NBER Working Papers 2677, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bernard Dumas, 1989. "Perishable Investment and Hysteresis in Capital Formation," NBER Working Papers 2930, National Bureau of Economic Research, Inc.
    2. Richard Meese & Andrew K. Rose, 1989. "An empirical assessment of non-linearities in models of exchange rate determination," International Finance Discussion Papers 367, Board of Governors of the Federal Reserve System (U.S.).
    3. Barkoulas, John T. & Baum, Christopher F. & Onochie, Joseph, 1997. "A nonparametric investigation of the 90-day t-bill rate," Review of Financial Economics, Elsevier, vol. 6(2), pages 187-198.
    4. Richard Baldwin & Richard Lyons, 1989. "Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments," NBER Working Papers 2828, National Bureau of Economic Research, Inc.
    5. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.

  37. Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Papers (Old Series) 9009, Federal Reserve Bank of Cleveland.
    2. Juann H. Hung, 1995. "Intervention strategies and exchange rate volatility: a noise trading perspective," Research Paper 9515, Federal Reserve Bank of New York.
    3. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    4. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
    5. Jeffrey A. Frankel, 1987. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," NBER Working Papers 2367, National Bureau of Economic Research, Inc.
    6. 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.
    7. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999.
    8. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
    9. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    10. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    11. Shang-Jin Wei, 1991. "Anticipations of foreign exchange volatility and bid-ask spreads," International Finance Discussion Papers 409, Board of Governors of the Federal Reserve System (U.S.).
    12. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
    13. Szakmary, Andrew C. & Mathur, Ike, 1997. "Central bank intervention and trading rule profits in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 513-535, August.
    14. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.
    15. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    16. Aron Gereben, 2002. "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series DP2002/04, Reserve Bank of New Zealand.
    17. Sarantis, Nicholas, 2006. "Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1168-1186, November.
    18. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Papers (Old Series) 9207, Federal Reserve Bank of Cleveland.

Articles

  1. Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
    See citations under working paper version above.
  2. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
    See citations under working paper version above.
  3. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    See citations under working paper version above.
  4. Martin D. D. Evans & Richard K. Lyons, 2006. "Understanding order flow," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 3-23.
    See citations under working paper version above.
  5. Martin D. D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, vol. 95(2), pages 405-414, May.
    See citations under working paper version above.
  6. Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.
    See citations under working paper version above.
  7. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
    See citations under working paper version above.
  8. Richard K. Lyons, 2003. "Explaining and Forecasting Exchange Rates with Order Flows," Economie Internationale, CEPII research center, issue 96, pages 107-127.

    Cited by:

    1. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    2. 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.
    3. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.

  9. Evans, Martin D. D. & Lyons, Richard K., 2002. "Time-varying liquidity in foreign exchange," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 1025-1051, July.

    Cited by:

    1. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    2. Eleftheria Koniari, 2017. "Greek Foreign Direct Investments In South-Eastern Europe," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 13(1), pages 67-83.
    3. Suk-Joong Kim & Jeffrey Sheen, 2018. "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 3, pages 73-106, World Scientific Publishing Co. Pte. Ltd..
    4. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    5. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
    6. Schnabl, Gunther & Hillebrand, Eric, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 650, European Central Bank.
    7. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
    8. Ismail Saglam, 2019. "Perverse Effects of Non-sterilized Interventions on Spot Foreign Exchange Rates," South Asian Journal of Macroeconomics and Public Finance, , vol. 8(1), pages 26-56, June.
    9. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    10. Joseph, Agnes S. & Kiviet, Jan F., 2005. "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 417-444, April.
    11. 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.
    12. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    13. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    15. Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009. "Exchange rate management in emerging markets: Intervention via an electronic limit order book," Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
    16. Delaney, Judith M. & Devereux, Paul J., 2019. "Understanding gender differences in STEM: Evidence from college applications✰," Economics of Education Review, Elsevier, vol. 72(C), pages 219-238.
    17. Dominguez, Kathryn M.E., 2006. "When do central bank interventions influence intra-daily and longer-term exchange rate movements?," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
    18. Guido M. Kuersteiner & David C. Phillips & Mauricio Villamizar-Villegas, 2016. "Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy," Borradores de Economia 964, Banco de la Republica de Colombia.
    19. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    20. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
    21. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    22. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
    23. Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," BIS Working Papers 1094, Bank for International Settlements.
    24. Ingrid Lo & Stephen Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers 05-42, Bank of Canada.
    25. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    26. Edgar Ventura Neyra & Gabriel Rodríguez, 2015. "Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 61(3), pages 261-292.
    27. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    28. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    29. Jiang, Jiangang & Zhang, Jianhong, 2023. "Does political ideology matter in Chinese cross-border acquisitions?," Journal of Business Research, Elsevier, vol. 161(C).
    30. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    31. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    32. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    33. Srđan Marinković, 2014. "Non-Parametric Sign Test And Paired Samples Test Of Effectiveness Of Official Fx Intervention," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(202), pages 107-130, July – Se.
    34. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    35. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    36. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    37. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    38. Jinliang Li, 2016. "When noise trading fades, volatility rises," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 475-512, October.
    39. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    40. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
    41. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    42. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    43. Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong, 2018. "The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ," Journal of Financial Markets, Elsevier, vol. 41(C), pages 17-35.
    44. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    45. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    46. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
    47. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    48. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    49. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
    50. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.

  10. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    3. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    4. Yang, Zhifang & Zhong, Haiwang & Lin, Wei & Lin, Jeremy & Chen, Yonghong & Xia, Qing & Liu, Wentao & Zhang, Xuan, 2019. "Mapping between transmission constraint penalty factor and OPF solution in electricity markets: analysis and fast calculation," Energy, Elsevier, vol. 168(C), pages 1181-1191.
    5. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    6. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    7. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    8. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    9. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    10. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    11. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
    12. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    13. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    14. David Archer, 2005. "Foreign exchange market intervention: methods and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 40-55, Bank for International Settlements.
    15. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    16. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
    17. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    18. 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.
    19. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    20. Michael J. Sager & Mark P. Taylor, 2006. "Under the microscope: the structure of the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 81-95.
    21. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    22. Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023. "The currency that came in from the cold: Capital controls and the information content of order flow," Journal of International Money and Finance, Elsevier, vol. 138(C).
    23. Andres Felipe Garcia-Suaza & Jose Eduardo Gómez, 2011. "A Simple Test of Momentum in Foreign Exchange Markets," Borradores de Economia 8230, Banco de la Republica.
    24. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    25. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    26. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    27. Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
    28. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    29. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    30. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    31. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    32. Böhme, René & Fortmann, Fabian & Persau, Valentin, 2019. "Arbeitsmarktintegration von Geflüchteten: Eine Bestandsaufnahme nach ausgewählten Branchen im Land Bremen," Reihe Arbeit und Wirtschaft in Bremen 28, Institut Arbeit und Wirtschaft (IAW), Universität Bremen und Arbeit­nehmer­kammer Bremen.
    33. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    34. Yoshihiro Kitamura, 2011. "The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 1-31, March.
    35. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    36. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    37. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
    38. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    39. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    40. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    41. Bianco, Vincenzo & Scarpa, Federico, 2018. "Impact of the phase out of French nuclear reactors on the Italian power sector," Energy, Elsevier, vol. 150(C), pages 722-734.
    42. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    43. Danielsson, Jon & Love, Ryan, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
    44. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    45. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    46. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    47. Yutaka Kurihara, 2015. "Are Japanese Stock Prices Important Deterministic Elements of Exchange Rate Returns?," Bulletin of Applied Economics, Risk Market Journals, vol. 2(2), pages 1-9.
    48. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    49. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    50. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
    51. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    52. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    53. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    54. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    55. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
    56. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    57. Brause, Alexander, 2008. "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers 79, University of Würzburg, Department of Economics.

  11. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
    See citations under working paper version above.
  12. Richard K. Lyons, 2002. "Foreign exchange: macro puzzles, micro tools," Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
    See citations under working paper version above.
  13. Lyons, Richard K., 1998. "Introduction to the international market microstructure issue," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 219-223, December.

    Cited by:

    1. 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.

  14. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.

    Cited by:

    1. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
    2. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857, April.
    3. Nadia Matringe, 2022. "Early inventory management practices in the foreign exchange market: Insights from sixteenth‐century Lyon," Economic History Review, Economic History Society, vol. 75(3), pages 739-778, August.
    4. 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.
    5. Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
    6. Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1284-1302, December.
    7. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    8. Frederick Van Gysegem & Michael Frömmel, 2011. "Spread Components in the Hungarian Forint-Euro Market," 2011 Meeting Papers 1260, Society for Economic Dynamics.
    9. Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
    10. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
    11. Neely, C. J. & Weller, P. A., 2003. "Intraday technical trading in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 223-237, April.
    12. Stephan Schulmeister & Margit Schratzenstaller & Oliver Picek, 2008. "A General Financial Transaction Tax. Motives, Revenues, Feasibility and Effects," WIFO Studies, WIFO, number 31819, April.
    13. Kahn, Charles M. & Roberds, William, 2001. "The CLS bank: a solution to the risks of international payments settlement?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 191-226, June.
    14. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
    15. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    16. Roman Kozhan & Wing Wah Tham, 2012. "Execution Risk in High-Frequency Arbitrage," Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
    17. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo.
    18. Oberlechner, Thomas & Hocking, Sam, 2004. "Information sources, news, and rumors in financial markets: Insights into the foreign exchange market," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 407-424, June.
    19. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.

  15. Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May.

    Cited by:

    1. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    2. Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University.
    3. Andrew Clare & Mark Johnson & James Proudman & Victoria Saporta, 1999. "The Impact of UK Macroeconomic Announcements on the Market for Gilts," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
    4. Holub, Tomáš, 2004. "Foreign exchange interventions under inflation targeting: the Czech Experience," Research Notes 17, Deutsche Bank Research.
    5. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    6. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    7. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.
    8. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    9. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    10. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
    11. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    12. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    13. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center.
    14. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    15. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    16. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
    17. Martin D. D. Evans(Georgetown University and NBER), 2005. "What are the Origins of Foreign Exchange Movements?," Working Papers gueconwpa~05-05-06, Georgetown University, Department of Economics.
    18. Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley.
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    31. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
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    Cited by:

    1. Andrew Clare & Mark Johnson & James Proudman & Victoria Saporta, 1999. "The Impact of UK Macroeconomic Announcements on the Market for Gilts," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
    2. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.
    3. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    4. Liang Ding & Hao Zou & Vittorio Addona, 2012. "Semi‐transparency, dealership market, and foreign exchange market quality," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 1-13, January.
    5. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
    6. Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
    7. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Staff Working Papers 02-33, Bank of Canada.
    8. 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.
    9. Vitale, Paolo, 1999. "Sterilised central bank intervention in the foreign exchange market," Journal of International Economics, Elsevier, vol. 49(2), pages 245-267, December.
    10. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    11. Nelson Granados & Alok Gupta & Robert J. Kauffman, 2010. "Research Commentary---Information Transparency in Business-to-Consumer Markets: Concepts, Framework, and Research Agenda," Information Systems Research, INFORMS, vol. 21(2), pages 207-226, June.
    12. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    13. Dimitri Vayanos, 1999. "Strategic Trading and Welfare in a Dynamic Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(2), pages 219-254.
    14. Cosmin Octavian Cepoi & Filip Mihai Toma, 2016. "Estimating Probability of Informed Trading on the Bucharest Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 140-160, April.
    15. Bloomfield, Robert & O'Hara, Maureen, 2000. "Can transparent markets survive?," Journal of Financial Economics, Elsevier, vol. 55(3), pages 425-459, March.
    16. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
    17. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market," Staff Working Papers 99-11, Bank of Canada.
    18. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    19. Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
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    1. 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.
    2. Odedokun, M. O., 1997. "The monetary approach to analysing floating exchange rate behaviour in developing countries: Evidence from sub-Saharan African countries, 1986-1992," Journal of Development Economics, Elsevier, vol. 52(2), pages 463-481, April.
    3. Grade Grade, 1999. "The Political Economy of Exchange Rate Policies in Latin America and the Caribbean: The Case of Peru," Research Department Publications 3063, Inter-American Development Bank, Research Department.
    4. Cosmin Octavian Cepoi & Filip Mihai Toma, 2016. "Estimating Probability of Informed Trading on the Bucharest Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 140-160, April.
    5. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    6. Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
    7. Alberto Pascó-Font & Piero Ghezzi, 2000. "Exchange Rates and Interest Groups in Peru, 1950-1996," Research Department Publications 3120, Inter-American Development Bank, Research Department.

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    1. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function," School of Economics Discussion Papers 1005, School of Economics, University of Surrey.
    2. Moreno, Rosina & Lopez-Bazo, Enrique & Artis, Manuel, 2002. "Evaluating the optimality of Spanish industry (1980-1993)," ERSA conference papers ersa02p353, European Regional Science Association.
    3. Alberto Franco Pozzolo, 2004. "Research and Development, Regional Spillovers and the Location of Economic Activities," Manchester School, University of Manchester, vol. 72(4), pages 463-482, July.
    4. Eric J. Bartelsman & Ricardo J. Caballero & Richard K. Lyons, 1991. "Short and Long Run Externalities," NBER Working Papers 3810, National Bureau of Economic Research, Inc.
    5. Susanto Basu & John G. Fernald, 1994. "Are apparent productive spillovers a figment of specification error?," International Finance Discussion Papers 463, Board of Governors of the Federal Reserve System (U.S.).
    6. Patricia Jones & Abigail Barr, 1996. "Learning by doing in sub-Saharan Africa: Evidence from Ghana," Journal of International Development, John Wiley & Sons, Ltd., vol. 8(3), pages 445-466.
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  24. Lyons, Richard K., 1990. "Whence exchange rate overshooting: Money stock or flow?," Journal of International Economics, Elsevier, vol. 29(3-4), pages 369-384, November.

    Cited by:

    1. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
    2. 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.
    3. David Gruen, 1995. "Financial Market Volatility and the World-wide Fall in Inflation," RBA Research Discussion Papers rdp9513, Reserve Bank of Australia.
    4. Ono, Y., 2001. "International Spillover of Economic Fluctuations:A Dynamic Optimization Approach," ISER Discussion Paper 0527, Institute of Social and Economic Research, Osaka University.
    5. Gonyung Park & Young-yong Kim, 2003. "An empirical analysis of nominal rigidities and exchange rate overshooting: an intertemporal approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 153-166.
    6. Gruen, D.W.R. & Gizycki, M.C., 1993. "Explaining Forward Discount Bias: Is It Anchoring?," Papers 164, Princeton, Woodrow Wilson School - Public and International Affairs.
    7. Richard K. Lyons., 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," Research Program in Finance Working Papers RPF-231, University of California at Berkeley.

  25. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
    See citations under working paper version above.

Chapters

  1. Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Richard K. Lyons, 2006. "The Microstructure Approach to Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 026262205x, December.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Montoro, Carlos & Ortiz, Marco, 2023. "The portfolio balance channel of capital flows and foreign exchange intervention in a small open economy," Journal of International Money and Finance, Elsevier, vol. 133(C).
    3. Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007. "The impact of Central Bank intervention on exchange rate forecasts heterogeneity," ULB Institutional Repository 2013/10423, ULB -- Universite Libre de Bruxelles.
    4. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
    6. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center.
    7. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    8. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    9. Valeria Bejarano-Salcedo & William Iván Moreno-Jimenez & Juan Manuel Julio-Román, 2020. "La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano," Borradores de Economia 1142, Banco de la Republica de Colombia.
    10. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
    11. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    12. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    13. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    14. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    15. Alain P. Chaboud & Owen F. Humpage, 2005. "An assessment of the impact of Japanese foreign exchange intervention: 1991-2004," International Finance Discussion Papers 824, Board of Governors of the Federal Reserve System (U.S.).
    16. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    17. Alain P. Chaboud & Owen F. Humpage, 2003. "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Papers (Old Series) 0309, Federal Reserve Bank of Cleveland.
    18. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    19. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 12424, Banco de la Republica.
    20. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
    21. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    22. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    23. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
    24. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
    25. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    26. 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.
    27. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," THEMA Working Papers 2003-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    28. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank.
    29. Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
    30. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
    31. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    32. Alexei Deviatov & Igor Dodonov, 2006. "Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation," Working Papers w0079, New Economic School (NES).
    33. De Grauwe, Paul & Grimaldi, Marianna, 2006. "Exchange rate puzzles: A tale of switching attractors," European Economic Review, Elsevier, vol. 50(1), pages 1-33, January.
    34. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    35. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers.
    36. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    37. Owen F. Humpage & Javiera Ragnartz, 2005. "Swedish intervention and the Krona float, 1993–2002," Working Papers (Old Series) 0514, Federal Reserve Bank of Cleveland.
    38. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    39. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
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