Empirical Evidence on the Microstructure Models of Exchange Rates

Imad A Moosa and Razzaque H Bhatti
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Imad A Moosa: Monash University, Australia
Razzaque H Bhatti: Gulf University for Science and Technology, Kuwait

Chapter 13 in The Theory and Empirics of Exchange Rates, 2009, pp 379-421 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Explanatory Power of Order FlowOrder Flow and Other Characteristics of Exchange RatesThe Forecasting Power of Order FlowThe Micro Impact of Macroeconomic News on Exchange RatesMacroeconomic Fundamentals-Related News and Exchange Rate ChangesMacroeconomic Announcements and Exchange RatesMacroeconomic News and Exchange Rate Mean and VarianceMacroeconomic Announcements, Order Flow, and Exchange RatesA Microstructure Test of International Financial IntegrationRecapitulation

Keywords: Models of Exchange Rate Determination; Balance of Payments; Macroeconomic Approach to Exchange Rates; Microstructure Approach to Exchange Rates; Mundell-Fleming Model; Flexible-Price Monetary Model of Exchange Rates; Portfolio Balance Model; Currency Substitution Model (search for similar items in EconPapers)
JEL-codes: I10 (search for similar items in EconPapers)
Date: 2009
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