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- W2907733110 abstract "This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to provide direct measures of buying and selling pressure related to carry trading and momentum strategies. We find that they appear to be good proxies for currency crash risk. Additionally, we show that the association between our order-flow factors and currency returns differs according to the customer segment of the foreign exchange market. In particular, it appears that financial customers are risk takers in the market, while non-financial customers serve as liquidity providers.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org." @default.
- W2907733110 created "2019-01-11" @default.
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- W2907733110 date "2020-05-01" @default.
- W2907733110 modified "2023-10-16" @default.
- W2907733110 title "Foreign Exchange Order Flow as a Risk Factor" @default.
- W2907733110 doi "https://doi.org/10.3386/w27199" @default.
- W2907733110 hasPublicationYear "2020" @default.
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