Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow

Q2 Economics, Econometrics and Finance

Global Journal of Emerging Market Economies Pub Date : 2021-09-27 DOI:10.1177/09749101211040146

M. Jabeen, A. Rashid

引用次数: 0

Abstract

This article studies the effects of macroeconomic news announcements and order flow on exchange rates in Pakistan by considering both direct and indirect information channels during news announcements periods. For this purpose, it employs GARCH models by using real-time data on macroeconomic news, order flow, and exchange rates. The findings reveal that macroeconomic news directly, and indirectly affect Pak Rupee exchange rates. The results also show that the order flow drives fluctuations in Pak Rupee exchange rates indicating the role of trade signals and trading strategies of currency traders in the exchange rate determination. Hence, as part of an aggregated economic component and means of public and private information, macroeconomic news and order flow impact Pak Rupee exchange rates as an integrated determinant. When macroeconomic news strikes the foreign exchange market, it affects the decisions of market makers, influencing order flow, and then exchange rates.

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宏观经济新闻与汇率:探索订单流的作用

本文通过考虑新闻发布期间的直接和间接信息渠道，研究了宏观经济新闻发布和订单流对巴基斯坦汇率的影响。为此，它通过使用宏观经济新闻、订单流和汇率的实时数据，采用GARCH模型。研究结果表明，宏观经济消息直接和间接影响巴基斯坦卢比汇率。结果还表明，订单流驱动了巴基斯坦卢比汇率的波动，这表明货币交易员的交易信号和交易策略在汇率决定中的作用。因此，作为综合经济组成部分和公共和私人信息手段的一部分，宏观经济新闻和订单流作为一个综合决定因素影响巴基斯坦卢比汇率。当宏观经济消息冲击外汇市场时，它会影响做市商的决策，影响订单流，然后影响汇率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Global Journal of Emerging Market Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

2.70

自引率

0.00%

发文量

期刊介绍： Global Journal of Emerging Market Economies is a peer-reviewed journal. The aim of the journal is to provide an international platform for knowledge sharing, discussion and networking on the various aspects related to emerging market economies through publications of original research. It aims to make available basic reference material for policy-makers, business executives and researchers interested in issues of fundamental importance to the economic prospects and performance of emerging market economies. The topics for discussion are related to the following general categories: D. Microeconomics E. Macroeconomics and Monetary Economics F. International Economics G. Financial Economics H. Public Economics I. Health, Education, and Welfare J. Labor and Demographic Economics L. Industrial Organization O. Economic Development, Innovation, Technological Change, and Growth Q. Agricultural and Natural Resource Economics • Environmental and Ecological Economics R. Urban, Rural, Regional, Real Estate, and Transportation Economics Additionally, the journal would be most interested to publish topics related to Global Financial Crisis and the Impact on Emerging Market Economies Economic Development and Inclusive Growth Climate Change and Energy Infrastructure Development and Public Private Partnerships Capital Flows to and from Emerging Market Economies Regional Cooperation Trade and Investment and Development of National and Regional Financial Markets The Belt and Road Initiative.