Private or Public Information in Foreign Exchange Markets? An Empirical Analysis
Private or Public Information in Foreign Exchange Markets? An Empirical Analysis
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外汇市场中的私人信息还是公共信息？
DOI：
10.2139/ssrn.239149
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
Dagfinn Rime
中科院分区：
文献类型：
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作者：
Dagfinn Rime
在宏观经济模型中，汇率由公共信息决定。交易活动完全无关。一般来说，这些模型对短期的解释力较低，这可能是由于可能存在私人信息。外汇市场交易商认为来自客户的订单流是最重要的私人信息来源。我测试了一个包含私人信息的微观结构交易模型，包括订单流和宏观经济变量。结果表明，订单流是解释每周汇率变化的重要变量，从而表明私人信息的重要作用。
In macroeconomic models exchange rates are determined by public information. Trading activities are completely irrelevant. In general, these models have low explanatory power for short horizons, which might be due to the possible existence of private information. Dealers in the foreign exchange market consider the order flow from customers to be the most important source of private information. I test a microstructural trading model incorporating private information, including both order flow and macroeconomic variables. The results show that order flow is an important variable for explaining weekly changes in exchange rates, thereby indicating an important role for private information.