A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s

Nikola Gradojevic

Applied Financial Economics, 2007, vol. 17, issue 17, 1377-1387

Abstract: This article analyses two sudden depreciations of the Canadian dollar in the 1990s: July/August 1998 and November/December 1994. It is found that a nonparametric exchange rate model based on a combination of fundamental and microstructure (order flow) variables can be used not only to explain, but to also predict such excessive currency movements. During the depreciation periods, the forecast accuracy of the model is significantly superior to that of the linear model. The results provide an illustrative example that order flow variables have a substantial explanatory power for a very short-run exchange rate prediction.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100601018807 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:17:y:2007:i:17:p:1377-1387

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100601018807

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().