Frequency domain analysis of foreign exchange order flows

Economics Letters, 2012, vol. 115, issue 1, 73-76

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.

Keywords: Foreign exchange markets; Order flows; Private information (search for similar items in EconPapers)
JEL-codes: F3 G0 G1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:73-76

DOI: 10.1016/j.econlet.2011.11.045

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