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Citations for "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting"

by Martin D.D. Evans & Richard K. Lyons

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  1. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
  2. 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.
  3. 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.
  4. 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.
  5. Martin D. D. Evans & Dagfinn Rime, 2017. "Order Flow Information and Spot Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 17, pages 725-776 World Scientific Publishing Co. Pte. Ltd..
  6. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
  7. Martin Evans and Dagfinn Rime, 2010. "Micro Approaches to foreign Exchange Determination," Working Papers gueconwpa~10-10-04, Georgetown University, Department of Economics.
  8. 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.
  9. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2011. "An investigation of customer order flow in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1892-1906, August.
  10. 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.
  11. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders’ arrival in foreign exchange markets: Does geography matter?," Empirical Economics, Springer, vol. 49(4), pages 1431-1462, December.
  12. 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.
  13. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  14. 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.).
  15. Breedon, Francis & Rime, Dagfinn & Vitale, Paolo, 2010. "A Transaction Data Study of the Forward Bias Puzzle," CEPR Discussion Papers 7791, C.E.P.R. Discussion Papers.
  16. 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.
  17. Athanasios Geromichalos & Kuk Mo Jung, 2014. "An Over-the-Counter Approach to the FOREX Market," Working Papers 144, University of California, Davis, Department of Economics.
  18. 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.
  19. 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.
  20. Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
  21. Oberlechner, Thomas & Osler, Carol, 2012. "Survival of Overconfidence in Currency Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(01), pages 91-113, April.
  22. Tripe, David & Xia, Bingru & Roberts, Leigh, 2011. "Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience," Working Paper Series 1986, Victoria University of Wellington, School of Economics and Finance.
  23. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
  24. 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.
  25. 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.
  26. Gradojevic, Nikola & Lento, Camillo, 2015. "Multiscale analysis of foreign exchange order flows and technical trading profitability," Economic Modelling, Elsevier, vol. 47(C), pages 156-165.
  27. 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.
  28. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers 39, Brandeis University, Department of Economics and International Businesss School.
  29. 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.
  30. Martin D. D. Evans & Richard K. Lyons, 2017. "Understanding Order Flow," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 13, pages 507-546 World Scientific Publishing Co. Pte. Ltd..
  31. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the foreign exchange market: Turning on the microscope," Journal of International Economics, Elsevier, vol. 76(2), pages 237-253, December.
  32. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
  33. repec:edn:sirdps:378 is not listed on IDEAS
  34. Adrian, Tobias & Etula, Erkko & Shin, Hyun Song, 2009. "Risk appetite and exchange Rates," Staff Reports 361, Federal Reserve Bank of New York, revised 10 Dec 2015.
  35. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
  36. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price," Discussion Paper Series 1: Economic Studies 2009,32, Deutsche Bundesbank, Research Centre.
  37. 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 Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  38. 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 (NBER-EASE Volume 17), pages 177-217 National Bureau of Economic Research, Inc.
  39. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
  40. 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.
  41. 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.
  42. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
  43. 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.
  44. 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.
  45. Rod Cross & Victor Kozyakin, 2012. "Fact and Fiction in FX Arbitrage Processes," Working Papers 1211, University of Strathclyde Business School, Department of Economics.
  46. Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
  47. Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006. "What defines `news' in foreign exchange markets?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
  48. Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS.
  49. 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.
  50. 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.
  51. 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.
  52. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, vol. 16(1), pages 127-151.
  53. 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 011228, DEPARTAMENTO NACIONAL DE PLANEACIÓN.
  54. 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.
  55. 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.
  56. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  57. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
  58. 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.
  59. Teneng, Dean, 2013. "Outperforming the naïve Random Walk forecast of foreign exchange daily closing prices using Variance Gamma and normal inverse Gaussian Levy processes," MPRA Paper 47851, University Library of Munich, Germany.
  60. 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.
  61. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  62. 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.
  63. Tomáš Bunčák, 2016. "Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?," Prague Economic Papers, University of Economics, Prague, vol. 2016(5), pages 527-546.
  64. 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.
  65. Somesh Kumar Mathur & Surendra Babu, 2014. "Modelling & Forecasting of Re/$ Exchange rate – An empirical analysis," 2nd International Conference on Energy, Regional Integration and Socio-Economic Development 7741, EcoMod.
  66. Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers 49, Bank of Greece.
  67. Tomáš Bunčák, . "Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-20.
  68. 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.
  69. Gradojevic, Nikola, 2012. "Frequency domain analysis of foreign exchange order flows," Economics Letters, Elsevier, vol. 115(1), pages 73-76.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 729-740, May.
  75. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
  76. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
  77. 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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