The microstructure of the Canada/US dollar exchange rate: A robustness test

被引：7
|
作者：
Gradojevic, Nikola [1 ]
机构：
[1] Lakehead Univ, Thunder Bay, ON P7B 5E1, Canada
来源：
ECONOMICS LETTERS | 2007年 / 94卷 / 03期
关键词：
foreign exchange; market microstructure; forecasting;
D O I：
10.1016/j.econlet.2006.09.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The recent international economics literature suggests that market microstructure effects matter for exchange rate determination and forecasting. This paper investigates performance robustness of the pure microstructure Canada/U.S. dollar exchange rate model. It is found that, when used for forecasting, this microstructure model is very sensitive to the choice of time period and forecasting horizon. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：426 / 432
页数：7
相关论文
共 50 条
  • [1] The US Dollar Exchange Rate and the Demand for Oil
    De Schryder, Selien
    Peersman, Gert
    [J]. ENERGY JOURNAL, 2015, 36 (03): : 263 - 285
  • [2] FORECASTING FORWARD EXCHANGE RATE RISK PREMIUM IN SINGAPORE DOLLAR/US DOLLAR EXCHANGE RATE MARKET
    Kiani, Khurshid M.
    [J]. SINGAPORE ECONOMIC REVIEW, 2009, 54 (02): : 283 - 298
  • [3] Analysis of the HK Dollar's linked Exchange Rate to the US Dollar
    黄泽民
    [J]. China & World Economy, 1998, (05) : 14 - 17
  • [4] Did the Bundesbank react to the US dollar exchange rate?
    Eleftheriou, Maria
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 51 : 235 - 244
  • [5] ENERGY FUTURES PRICES AND THE US DOLLAR EXCHANGE RATE
    Li, Raymond
    [J]. AUSTRALIAN ECONOMIC PAPERS, 2011, 50 (2-3) : 62 - 73
  • [6] Portfolio flows and the US dollar–yen exchange rate
    Faek Menla Ali
    Fabio Spagnolo
    Nicola Spagnolo
    [J]. Empirical Economics, 2017, 52 : 179 - 189
  • [7] Relationship between the gold price and the Australian dollar - US dollar exchange rate
    Haque, Md. Aminul
    Topal, Erkan
    Lilford, Eric
    [J]. MINERAL ECONOMICS, 2015, 28 (1-2) : 65 - 78
  • [8] Testing for deterministic nonlinear dependence in the Australian dollar US dollar exchange rate series
    Serletis, A
    Dormaar, P
    [J]. APPLIED ECONOMICS LETTERS, 1996, 3 (04): : 267 - 269
  • [9] Portfolio flows and the US dollar-yen exchange rate
    Ali, Faek Menla
    Spagnolo, Fabio
    Spagnolo, Nicola
    [J]. EMPIRICAL ECONOMICS, 2017, 52 (01) : 179 - 189
  • [10] The effectiveness of joint intervention on the yen/US dollar exchange rate
    Chen, Langnan
    Huang, Xun
    [J]. APPLIED ECONOMICS LETTERS, 2008, 15 (05) : 375 - 378
12345