Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?
Qiong Zhang and
Muhammad Majeed ()
MPRA Paper from University Library of Munich, Germany
Using two measures of private information and high-frequency transaction data from the leading interdealer electronic broking system Reuters D2000-2, we examine the association between exchange rate return and contemporaneous order flow and the predictability power of lagged order flow on the future exchange rate return. Our empirical analysis demonstrates that at high frequency (5, 10, 15, 20, 25, and 30 min) there exists strong positive association between exchange rate returns and contemporaneous order flow. However, the results indicate weak predictability of order flow on the future exchange rate return.
Keywords: Exchange Rate; Forecasting; Microstructure Approach (search for similar items in EconPapers)
JEL-codes: F31 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in ISRN Economics Article ID 724259.2013(2013): pp. 1-12
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/57673/1/MPRA_paper_57673.pdf original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57673
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().