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"This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange rate movements. We examine the intra-daily influence of a broad set of news reports, including variables which are not typically considered "fundamentals" in the context of standard models of exchange rate determination, and ask whether they too help predict exchange rate behavior. We also examine whether "news" not only impacts exchange rates directly, but also influences exchange rates via order flow (signed trade volume). Our results indicate that along with the standard fundamentals, both non-fundamental news and order flow matter, suggesting that future models of exchange rate determination ought to include all three types of explanatory variables"--National Bureau of Economic Research web site.
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Subjects
Foreign exchange rates, Mathematical modelsShowing 1 featured edition. View all 1 editions?
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What defines 'news' in foreign exchange markets?
2005, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 12/7/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
- 5 revisions
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August 4, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
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