Private information and a macro model of exchange rates
Subtitle: evidence from a novel data set
By: Menzie D. Chinn, Michael J. Moore.
Contributors: Moore, Michael J., 1953 Nov. 28-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 14175; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 14175.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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 order flow on dollar/euro and dollar/yen.  The augmented macroeconomic, or "hybrid", model exhibits out of sample forecasting improvement over the basic macroeconomic and random walk specifications"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/23/2008.

Includes bibliographical references.

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