About this Journal Submit a Manuscript Table of Contents
ISRN Economics
Volume 2013 (2013), Article ID 724259, 12 pages
Research Article

Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?

1GREQAM, School of Economics, Aix-Marseille University, Marseille 13236, France
2School of Public Administration, Sichuan University, Chengdu 610000, China
3School of Economics, Quaid-i-Azam University, Islamabad 45320, Pakistan

Received 21 August 2013; Accepted 1 December 2013

Academic Editors: M. E. Kandil and A. Rodriguez-Alvarez

Copyright © 2013 Guangfeng Zhang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. R. K. Lyons, “A simultaneous trade model of the foreign exchange hot potato,” Journal of International Economics, vol. 42, no. 3-4, pp. 275–298, 1997. View at Scopus
  2. M. D. D. Evans and R. K. Lyons, “Order flow and exchange rate dynamics,” Journal of Political Economy, vol. 110, no. 1, pp. 170–180, 2002. View at Publisher · View at Google Scholar · View at Scopus
  3. W. P. Killeen, R. K. Lyons, and M. J. Moore, “Fixed versus flexible: lessons from EMS order flow,” NBER Working Papers 8491, 2001.
  4. H. Hau, W. Killeen, and M. Moore, “How has the euro changed the foreign exchange market?” DNB Staff Reports 79, 2003.
  5. D. W. Berger, A. P. Chaboud, S. V. Chernenko, E. Howorka, and J. H. Wright, “Order flow and exchange rate dynamics in electronic brokerage system data,” International Finance Discussion Papers 830, 2006.
  6. T. Ito and Y. Hashimoto, “Price impacts of deals and predictability of the exchange rate movements,” NBER Working Paper 12682, 2006.
  7. D. Rime, U.S. Exchange Rates and Currency Flows, SIFR Research Report Series no. 4, Stockholm Institute for Financial Research, Stockholm, Sweden, 2001.
  8. R. Payne, “Informed trade in spot foreign exchange markets: an empirical investigation,” Journal of International Economics, vol. 61, no. 2, pp. 307–329, 2003. View at Publisher · View at Google Scholar · View at Scopus
  9. M. Evans and R. Lyons, “Order flow and exchange rate dynamics,” BIS Paper 2, 1999.
  10. J. Hasbrouck, “Measuring the information content of stock trades,” The Journal of Finance, vol. 46, no. 1, pp. 179–207, 1991.
  11. J. Daníelsson and R. Love, “Feedback trading,” International Journal of Finance and Economics, vol. 11, no. 1, pp. 35–53, 2006. View at Publisher · View at Google Scholar · View at Scopus
  12. R. Love and R. Payne, “Macroeconomic news, order flows and exchange rates,” FMG Discussion Papers dp475, 2003.
  13. M. Evans and R. Lyons, “Understanding order flow,” NBER Working Paper 11748, National Bureau of Economic Research, Inc., Cambridge, Mass, USA, 2005.