| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060685 | Economics Letters | 2012 | 4 Pages |
Abstract
Using a unique data set from the Bank of Canada, this paper presents the frequency domain analysis of a causal relationship between the Canada/US dollar exchange rate movements and currency order flows. The evidence shows that the existence as well as the direction of causality depends on the customer type, frequency, and time period.
⺠Investigate the FX market microstructure causality assumption. ⺠Frequency domain analysis for the Canada/US dollar exchange rate. ⺠Instability in the causal relationship between order flow and FX returns. ⺠Depends on the customer type, frequency, and time period.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nikola Gradojevic,