Blar i Norges Banks vitenarkiv på emneord "order flow"

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    • Exchange Rate Forecasting, Order Flow and Macroeconomic Information 

      Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira (Working Papers;2/2007, Working paper, 2007)
      This paper investigates the empirical relation between order flow and macroeconomic information in the foreign exchange market, and the ability of microstructure models based on order flow to outperform a naive random walk ...

    • Exchange Rates, Interest Rates and the Global Carry Trade 

      Evans, Martin D. D.; Rime, Dagfinn (Working Papers;14/2017, Working paper, 2017)
      We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies ...

    • Micro Approaches to Foreign Exchange Determination 

      Evans, Martin D. D.; Rime, Dagfinn (Working Papers;5/2011, Working paper, 2011)
      Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro ...

    • Price-setting in the foreign exchange swap market: Evidence from order flow 

      Syrstad, Olav; Viswanath-Natraj, Ganesh (Working Paper;16/2020, Working paper, 2020)
      This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) ...

    • The Flows of the Pacific: Asian Foreign Exchange Markets Through Tranquility and Turbulence 

      Rime, Dagfinn; Tranvåg, Hans Jørgen (Working Papers;1/2012, Working paper, 2012)
      Using the longest data set on FX order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with ...

    • The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward 

      King, Michael R.; Osler, Carol; Rime, Dagfinn (Working Papers;12/2013, Working paper, 2013)
      Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure ...