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Micro Approaches to Foreign Exchange Determination
16 references·2 citing·38 second hop
Micro Approaches to Foreign Exchange Determination (2012)Micro Approaches to Foreign Exchange Dete…Exchange rate forecasting, order flow and macroeconomic information (2009)Exchange rate forecasting, or…How is macro news transmitted to exchange rates? (2008)How is macro news transmitted…The high-frequency response of exchange rates and interest rates to macroeconomic announcements (2006)The high-frequency response o…Taylor Rules and the Deutschmark-Dollar Real Exchange Rate (2006)Taylor Rules and the Deutschm…Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting (2005)Meese-Rogoff Redux: Micro-Bas…Currency Returns, Intrinsic Value, and Institutional‐Investor Flows (2005)Currency Returns, Intrinsic V…Dealer behavior and trading systems in foreign exchange markets (2004)Dealer behavior and trading s…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Currency Orders and Exchange …Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …FX Trading and Exchange Rate Dynamics (2002)FX Trading and Exchange Rate …The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…A survey of market practitioners’ views on exchange rate dynamics (2000)A survey of market practition…Monetary policy rules in practice (1998)Monetary policy rules in prac…A simultaneous trade model of the foreign exchange hot potato (1997)A simultaneous trade model of…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Fundamental Connection: Exchange Rates and Macroeconomic Expectations (2024)A Fundamental Connection: Exc…Exchange rate disconnect and private information: What can we learn from Euro-Dollar tweets? (2019)Exchange rate disconnect and …Empirical exchange rate models of the seventies (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Text mining of news-headlines for FOREX market prediction: A Multi-layer Dimension Reduction Algorithm with semantics and sentiment (2014)A survey of the applications of text mining in financial domain (2016)Trading Volume and Price Reactions to Public Announcements (1991)Is There Private Information in the FX Market? The Tokyo Experiment (1998)A Theory of Intraday Patterns: Volume and Price Variability (1988)Measuring Treasury Market Liquidity (2001)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Expectations and Exchange Rate Dynamics (1976)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Exchange Rate Models Are Not as Bad as You Think (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Institutional Portfolio Flows and International Investments (2008)Understanding FX Liquidity (2015)Volatility risk premia and exchange rate predictability (2016)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)The Limits of Financial Globalization (2005)An Equilibrium Model of “Global Imbalances” and Low Interest Rates (2008)Cultural Biases in Economic Exchange? * (2009)Exchange rate expectations and economic policy uncertainty (2016)The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19 (2020)
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References

  • 1998Monetary policy rules in practice2,206 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 2008How is macro news transmitted to exchange rates?369 cited
  • 2005Currency Returns, Intrinsic Value, and Institutional‐Investor Flows299 cited
  • 2009Exchange rate forecasting, order flow and macroeconomic information281 cited
  • 1997A simultaneous trade model of the foreign exchange hot potato280 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 2004Dealer behavior and trading systems in foreign exchange markets239 cited
  • 2003Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis227 cited
  • 2000A survey of market practitioners’ views on exchange rate dynamics214 cited
  • 2005Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting211 cited
  • 2006Taylor Rules and the Deutschmark-Dollar Real Exchange Rate

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185 cited
  • 2002FX Trading and Exchange Rate Dynamics177 cited
  • Cited by

    • 2019Exchange rate disconnect and private information: What can we learn from Euro-Dollar tweets?16 cited
    • 2024A Fundamental Connection: Exchange Rates and Macroeconomic Expectations14 cited