Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market (Record no. 51004)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02072nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190128131332.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190128b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Anifowose, Abolaji Daniel |
| 9 (RLIN) | 33026 |
| 245 ## - TITLE STATEMENT | |
| Title | Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 902–920 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This article presents empirical test results of Malaysian foreign exchange market microstructure assessment of exchange rate dynamics. We apply vector autoregressive (VAR) model to estimate the influential role of currency order flow in the determination of the currency exchange rate for the Malaysian ringgit (MYR) against the US dollar (USD). We investigate whether currency order flow captures the movements of exchange rate of MYR against USD, and how the long-term and short-term components impact the relative estimation of MYR in the international market. We, construct a measure of order flow in the Malaysian foreign exchange market to reflect the pressure of currency excess demand. Our focus is on the cumulative currency order flow and the exchange rate relationship of MYR and USD. A hybrid model of order flow and exchange rate dynamics proposed by Evans and Lyons (2002a) is applied to the Malaysian foreign exchange market (MYR/USD) to analyse a dataset of every 15-minute currency order flow and exchange rate movements from January 2010 to December 2015. Our dataset has unique features in terms of the quality of the data, extensive period and precise high frequency. Our results show that currency order flow explains an important portion of the movements in the MYR–USD exchange rate. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Exchange rate |
| Uncontrolled term | currency order flow |
| Uncontrolled term | market microstructure |
| Uncontrolled term | foreign exchange market |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ismail, Izlin |
| 9 (RLIN) | 3042 |
| Personal name | Sukor, Mohd Edil Abd |
| 9 (RLIN) | 33027 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 72597 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 5559312 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 28/01/2019 | Vol 19, No 4/ 5559312JA6 | 5559312JA6 | 28/01/2019 | 28/01/2019 |