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Explaining and Forecasting Exchange Rates with Order Flows |
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| Over the last 10 years a new approach has emerged for understanding exchange rates. The approach exploits transactions data made available by electronic trading. What information are these transactions conveying and why should the exchange rate effects be so persistent? Transaction flows in the major markets explain 60-80 percent of concurrent exchange rate movements. They are not just "demand": trades of the same size by different participant types have very different impact on exchange rates. Current transaction flows forecast next month's exchange rate much more powerfully than other well known forecasting variables. Finally, they are linked to traditional macroeconomic determinants of exchange rates. |
2 April, 2003
Marseilles
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17 h 00 - 19 h 00 |
| Jean-Claude Trichet |
Governor of the Banque de France |
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| Lionel Fontagné |
Director of the CEPII |
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| Alan Kirman |
Professor at the University of Aix-Marseille-IDEP |
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| Richard K. Lyons |
Professor, University of Berkeley and NBER |
Speakers |
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| Avinash Persaud |
Gresham Professor of Commerce, Managing Director, State Street Global Markets, State Street Bank and Trust Company |
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| Paul Fisher |
Head of Division, Foreign Exchange, Financial Market Opérations, Bank of England |
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