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Citations for "Macroeconomic news, order flows and exchange rates"

by Richard Payne

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  1. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
  2. 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.
  3. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  4. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
  5. 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.).
  6. Marcel Fratzscher & Dagfinn Rime & Lucio Sarno & Gabriele Zinna, 2014. "The scapegoat theory of exchange rates: the first tests," Temi di discussione (Economic working papers) 991, Bank of Italy, Economic Research and International Relations Area.
  7. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
  8. Alasdair Brown & Fuyu Yang, 2014. "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," University of East Anglia Applied and Financial Economics Working Paper Series 068, School of Economics, University of East Anglia, Norwich, UK..
  9. 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.
  10. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The influence of actual and unrequited interventions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 171-200.
  11. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
  12. 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.
  13. Martin Evans and Dagfinn Rime, 2010. "Micro Approaches to foreign Exchange Determination," Working Papers gueconwpa~10-10-04, Georgetown University, Department of Economics.
  14. Evans, Martin D.D., 2010. "Order flows and the exchange rate disconnect puzzle," Journal of International Economics, Elsevier, vol. 80(1), pages 58-71, January.
  15. Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel, 2014. "Market Set-Up in Advance of Federal Reserve Policy Decisions," NBER Working Papers 19814, National Bureau of Economic Research, Inc.
  16. 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.
  17. Booth, G. Geoffrey & Gurun, Umit G. & Zhang, Harold, 2014. "Financial networks and trading in bond markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 126-157.
  18. 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.
  19. 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.
  20. 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.).
  21. Kondor, Péter, 2011. "The more we know on the fundamental, the less we agree on the price," CEPR Discussion Papers 8455, C.E.P.R. Discussion Papers.
  22. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 0365, European Central Bank.
  23. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
  24. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
  25. Piccotti, Louis R., 2016. "Pricing errors and the geography of trade in the foreign exchange market," Journal of Financial Markets, Elsevier, vol. 28(C), pages 46-69.
  26. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  27. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
  28. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  29. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
  30. 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.
  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. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
  33. 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.
  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. Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios, 2015. "On quantitative easing and high frequency exchange rate dynamics," Research in International Business and Finance, Elsevier, vol. 34(C), pages 110-125.
  36. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
  37. 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.
  38. Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
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