Macroeconomic News, Order Flows and Exchange Rates
Macroeconomic News, Order Flows and Exchange Rates
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宏观经济新闻、订单流和汇率
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
Richard Payne
中科院分区：
文献类型：
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作者：
R. Love;Richard Payne
在汇率决定的教科书模型中，公共信息公告中包含的消息直接被扣押在价格中，在这个信息同化过程中没有交易的作用。本文利用交易层面的汇率收益率和交易数据以及一个预定的宏观经济公告样本直接检验了这一理论结果。本文的主要结果是，即使是公开和同时发布给所有市场参与者的信息，也会通过关键的微观价格决定因素-订单流部分地转化为价格。我们量化了订单流所起的作用，发现大约三分之一的价格相关信息是通过交易过程整合的。
In textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro level price determinant—order flow. We quantify the role that order flow plays and find that approximately one third of price-relevant information is incorporated via the trading process.