Title: The dynamic interaction of order flows and the CAD/USD exchange rate
Description: "We explore the relationship between disaggregated order flow, the Canada/U.S.  dollar (CAD/USD) market and U.S.  macroeconomic announcements.  Three types of CAD order flow and the CAD/USD are cointegrated.  Financial order flow appears to contemporaneously drive the CAD/USD while commercial order flow seems to contemporaneously respond to exchange rate movements.  Past order flow and lagged exchange rates strongly explain most types of order flow.  Despite this predictability and the contemporaneous correlation of order flow with exchange rate returns, exchange rate returns are not predictable by either statistical or economic criteria (trading rule).  This negative finding contrasts with that of Rime et al (2007), who use a different data set.  There is strong evidence of structural breaks in the order-flow-exchange rate systems in 1994, 1996-1997 and 1999-2000"--Federal Reserve Bank of St. Louis web site.