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Citations for "Currency Returns, Intrinsic Value, and Institutional-Investor Flows"

by Kenneth A. Froot & Tarun Ramadorai

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  1. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
  2. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016. "Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades," Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, 04.
  3. Adrian, Tobias & Etula, Erkko & Shin, Hyun Song, 2015. "Risk appetite and exchange rates," Staff Reports 750, Federal Reserve Bank of New York.
  4. Gino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Working Paper Series 15-23, The Rimini Centre for Economic Analysis.
  5. 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.
  6. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Economic Research Department, Bank of Thailand.
  7. Charles Engel, 2016. "Exchange Rates, Interest Rates, and the Risk Premium," American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
  8. Martin D. D. Evans (Georgetown University), 2005. "Understanding Order Flow," Working Papers gueconwpa~05-05-19, Georgetown University, Department of Economics.
  9. 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.
  10. Aggarwal, Raj & Muckley, Cal B., 2010. "Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 149-165, April.
  11. Valentina Bruno & Hyun Song Shin, 2013. "Capital Flows and the Risk-Taking Channel of Monetary Policy," Working Papers 1469, Princeton University, Department of Economics, Center for Economic Policy Studies..
  12. 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.
  13. Gounopoulos, Dimitrios & Molyneux, Philip & Staikouras, Sotiris K. & Wilson, John O.S. & Zhao, Gang, 2013. "Exchange rate risk and the equity performance of financial intermediaries," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 271-282.
  14. Vitale, Paolo, 2006. "A Market Microstructure Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5468, C.E.P.R. Discussion Papers.
  15. 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.
  16. Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
  17. 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.
  18. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
  19. Torsten Ehlers & Elod Takáts, 2013. "Capital flow dynamics and FX intervention," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 25-38 Bank for International Settlements.
  20. Francesca Pancotto & Giuseppe Pignataro & Davide Raggi, 2015. "Social Learning and Higher Order Beliefs: A Structural Model of Exchange Rates Dynamics," LEM Papers Series 2015/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  21. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  22. Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
  23. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2013. "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers 9549, C.E.P.R. Discussion Papers.
  24. Oscar Jorda, 2010. "Carry Trade," Working Papers 1019, University of California, Davis, Department of Economics.
  25. Fratzscher, Marcel & Saborowski, Christian & Straub, Roland, 2010. "Monetary Policy Shocks and Portfolio Choice," CEPR Discussion Papers 8099, C.E.P.R. Discussion Papers.
  26. Joseph, Nathan Lael & Lambertides, Neophytos & Savva, Christos S., 2015. "Short-horizon excess returns and exchange rate and interest rate effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 54-76.
  27. Castrén, Olli & Osbat, Chiara & Sydow, Matthias, 2006. "What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis," Working Paper Series 0706, European Central Bank.
  28. French, Joseph J. & Naka, Atsuyuki, 2013. "Dynamic relationships among equity flows, equity returns and dividends: Behavior of U.S. investors in China and India," Global Finance Journal, Elsevier, vol. 24(1), pages 13-29.
  29. Anusha Chari, 2007. "Heterogeneous Market-Making in Foreign Exchange Markets: Evidence from Individual Bank Responses to Central Bank Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1131-1162, 08.
  30. Fratzscher, Marcel, 2012. "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 341-356.
  31. 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.
  32. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, 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. 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.
  35. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
  36. 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, Research Centre.
  37. Hau, Harald & Massa, Massimo & 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.
  38. 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.
  39. Hans Jørgen Tranvåg & Dagfinn Rime, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper Series 12412, Department of Economics, Norwegian University of Science and Technology.
  40. Hau, Harald, 2014. "The exchange rate effect of multi-currency risk arbitrage," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
  41. International Monetary Fund, 2009. "South Africa; Selected Issues," IMF Staff Country Reports 09/276, International Monetary Fund.
  42. 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.
  43. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
  44. Jacob Gyntelberg & Subhanij Tientip & Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 12/213, International Monetary Fund.
  45. Hoffmann, Mathias & MacDonald, Ronald, 2009. "Real exchange rates and real interest rate differentials: A present value interpretation," European Economic Review, Elsevier, vol. 53(8), pages 952-970, November.
  46. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
  47. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
  48. Stavrakeva, Vania & Tang, Jenny, 2016. "Exchange rates and the yield curve," Working Papers 16-21, Federal Reserve Bank of Boston.
  49. 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.
  50. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  51. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
  52. Tarun Ramadorai, 2008. "What determines transaction costs in foreign exchange markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 14-25.
  53. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007.
  54. 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.
  55. Stavrakeva, Vania & Tang, Jenny, 2015. "Exchange rates and monetary policy," Working Papers 15-16, Federal Reserve Bank of Boston.
  56. 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.
  57. 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.
  58. Sen Dong, 2006. "Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage," 2006 Meeting Papers 875, Society for Economic Dynamics.
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