Macroeconomic News, Order Flows, and Exchange Rates
利用交易层面的汇率回报和交易数据，检验公开宏观经济公告中的信息是否通过订单流这一微观价格决定因素部分融入汇率价格，发现约三分之一的价格相关信息通过交易过程被吸收。
Abstract 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.