Private Information and a Macro Model of Exchange Rates : Evidence from a Novel Data Set

@inproceedings{Chinn2008PrivateIA,
  title={Private Information and a Macro Model of Exchange Rates : Evidence from a Novel Data Set},
  author={Menzie D. Chinn and Michael J. Moore},
  year={2008}
}
We propose an exchange rate model which is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. It argues that the failure of the monetary model is principally due to private preference shocks which render the demand for money unstable. These shocks to liquidity preference are revealed through order flow. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on inter-dealer… CONTINUE READING
3 Citations
22 References
Similar Papers

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 22 references

How Is Macro News Transmitted to Exchange Rates?

  • M. Evans, R. Lyons
  • Journal of Financial Economics, Volume 88,
  • 2008

Volatile and Persistent Real Exchange Rates with or without Sticky Prices

  • Moore, J Michael, Roche, J Maurice
  • Journal of Monetary Economics,
  • 2008

A Habit-Based Explanation of the Exchange Rate Risk Premium.

  • Verdelhan, Adrien
  • 2007

Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs

  • Moore, J Michael, Roche, J Maurice
  • 2007

A neo-classical explanation of nominal exchange rate volatility” in Exchange Rate Economics: Where do we stand? edited by Paul de Grauwe

  • Moore, J Michael, Roche, J Maurice
  • 2005

Similar Papers

Loading similar papers…