Jalil, Abdul and Feridun, Mete (2010) Explaining exchange rate movements: An application of the market microstructure approach on the Pakistani foreign exchange market. The Journal of Developing Areas, 44 (1). pp. 255-265. ISSN 0022-037X (Print), 1548-2278 (Online) (doi:10.1353/jda.0.0083)

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Abstract

This present article aims at explaining the exchange rate movements in the Pakistani foreign exchange market using the market micro structure approach, which has not been applied to date due to the unavailability of high-frequency data on the order flow for Pakistan. The novelty of the present article is that it uses publicly unavailable micro data obtained from the State Bank of Pakistan and that it employs ARCH/GARCH regression methods in addition to the OLS technique suggested by the existing literature. Strong evidence emerged suggesting that order flow is a key variable that explains the movements in exchange rate over a short term in the case of Pakistan.

Item Type:	Article
Uncontrolled Keywords:	market microstructure, order flow, Pakistan
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce
Faculty / School / Research Centre / Research Group:	Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Greenwich Political Economy Research Centre (GPERC) Faculty of Business > Department of International Business & Economics Faculty of Business
Related URLs:	Publisher
Last Modified:	04 Aug 2021 16:32
URI:	http://gala.gre.ac.uk/id/eprint/7926

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