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Order flow and rand/dollar exchange rate dynamics

Author

Listed:
  • Aadila Hoosain
  • Alain Kabundi
  • Alta Joubert

Abstract

This paper uses the microstructure approach for the South African foreign exchange market to determine the impact of order flow on the rand/US dollar exchange rate over the short and long term. A hybrid model which combines microeconomic and macroeconomic fundamental determinants of the exchange rate has been adopted. The analysis uses monthly series from […]

Suggested Citation

  • Aadila Hoosain & Alain Kabundi & Alta Joubert, 2018. "Order flow and rand/dollar exchange rate dynamics," Working Papers 770, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:770
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    More about this item

    Keywords

    capital market; econometric modelling; Exchange rate; Monetary Policy;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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