Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set
提出一个结合货币基本面与订单流的混合汇率模型，利用美元/欧元和美元/日元的近100个月交易商间订单流数据，发现该模型比传统宏观模型和随机游走模型在样本内稳定性和样本外预测上表现更好。
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-à-vis the basic macroeconomic and random walk specifications.