Short-run Exchange-rate Dynamics: Theory And Evidence

John Carlson, Christian Dahl and Carol Osler ()
Additional contact information
Carol Osler: International Business School, Brandeis University

No 39, Working Papers from Brandeis University, Department of Economics and International Business School

Abstract: Recent research has revealed a wealth of information about the microeconomics of currency markets and thus the determination of exchange rates at short horizons. This information should help in designing exchange-rate models. This paper analyzes an existing model that was previously demonstrated to be consistent with most of the major puzzles that have emerged under floating rates. It shows that this model is also consistent with most of the major new insights from microstructure. The model is consistent with the institutional structure of currency markets, it accurately reflects the constraints and objectives of major participants, and it fits key stylized facts concerning returns and order flow.

JEL-codes: F31 G12 G15 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2008-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP39.pdf First version, 2008 (application/pdf)

Related works:
Working Paper: Short-run Exchange-Rate Dynamics: Theory and Evidence (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:brd:wpaper:39

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