Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
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DOI：
10.2139/ssrn.709181
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发表时间：
2005-04
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影响因子：
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通讯作者：
David W. Berger;A. Chaboud;S. Chernenko;E. Howorka;Raj S.K. Iyer;David Liu;Jonathan H. Wright
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文献类型：
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作者：
David W. Berger;A. Chaboud;S. Chernenko;E. Howorka;Raj S.K. Iyer;David Liu;Jonathan H. Wright
我们使用一个新数据集来分析订单流和汇率之间的关联，该数据集代表了六年时间段内以一分钟频率进行的两种最常交易货币对的大多数全球交易商间交易。这种长跨度的高频数据使我们能够对这些系列的联合行为获得新的见解。我们首先确认交易商间订单流和汇率回报之间在 1 分钟到两周的范围内存在显着关联，但发现在较长的范围内这种关联要弱得多。我们研究了日内和长期汇率回报与订单流之间关联的时间变化，结果表明，当市场流动性较低时，这种关系似乎更强。总体而言，我们的研究支持流动性效应在订单流与汇率变化之间的关系中发挥重要作用的观点。这绝不排除订单流作为基本信息传递到市场的渠道的作用，因为我们表明我们的发现与 Bacchetta 和 Van Wincoop 最近的模型非常一致（2006 年：信息异质性可以解释汇率决定难题吗？美国经济评论，96，第 552-576 页），该模型结合了流动性和信息效应。
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a substantial association between interdealer order flow and exchange rate returns at horizons ranging from 1Â min to two weeks, but find that the association is substantially weaker at longer horizons. We study the time-variation of the association between exchange rate returns and order flow both intradaily and over the long term, and show that the relationship appears to be stronger when market liquidity is lower. Overall, our study supports the view that liquidity effects play an important role in the relationship between order flow and exchange rate changes. This by no means rules out a role for order flow as a channel by which fundamental information is transmitted to the market, as we show that our findings are quite consistent with a recent model by Bacchetta and Van Wincoop (2006: Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review, 96, pp. 552-576.) that combines both liquidity and information effects.