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Order Flow and Exchange Rate Dynamics

In: Studies in Foreign Exchange Economics

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  • Martin D.D. Evans
  • Richard K. Lyons

Abstract

The following sections are included:Motivation: Microstructure Meets Exchange Rate EconomicsModels: Spanning the Micro-Macro DividePortfolio Shifts ModelDataEmpirical ResultsDiscussionConclusionAcknowledgementsAppendix: Model SolutionReferences

Suggested Citation

  • Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789813148543_0006
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    Keywords

    Exchange Rates; Foreign Currency; Microstructure;

    JEL classification:

    • D9 - Microeconomics - - Micro-Based Behavioral Economics
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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