Exchange rate forecasting, order flow and macroeconomic information

• 成果类型: Article; Proceedings Paper
• 署名作者: Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira
• 署名单位: City St Georges, University of London; Norges Bank; Norwegian University of Science & Technology (NTNU); Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.03.005
• 发表日期: 2010
• 页码: 72-88
• 关键词: Exchange rates; microstructure; Order Flow; forecasting; Macroeconomic news

摘要

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow reflects heterogeneous expectations about macroeconomic fundamentals, and currency markets learn about the state of the economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major exchange rates, we find that: i) order flow is intimately related to a broad set of current and expected macroeconomic fundamentals; ii) more importantly, order flow is a powerful predictor of daily movements in exchange rates in an out-of-sample exercise, on the basis of economic value criteria such as Sharpe ratios and performance fees implied by utility calculations. (C) 2009 Elsevier B.V. All rights reserved.