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Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set
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Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set
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Journal Article
Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set
2011
Overview
We propose an exchange rate model that is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on interdealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or \"hybrid,\" model exhibits greater in-sample stability and out of sample forecasting improvement vis-á-vis the basic macroeconomic and random walk specifications.
