| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 964707 | Journal of International Money and Finance | 2008 | 18 Pages |
Abstract
I estimate a two-equation system on the Czech koruna-euro exchange rate and order flow at hourly frequency with transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank intervened to stem the appreciation of the koruna. I find a significant impact of order flow on the exchange rate, equal to 7.6 basis points per â¬10 million, of which 80% persists throughout the day. The news of intervention increases the price impact of order flow by 3.9 basis points per â¬10 million. The order flow equation yields inconclusive results.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Antonio Scalia,