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Query: faculty: "FEB" and publication year: "2004"

AuthorsF. Westerhoff, S. Manzan
TitleDoes Liquidity in the FX Market depend on Volatility?
JournalEconomics Bulletin
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe re?examine the relationship between exchange rates and order flow as proposed by
Evans and Lyons (2002). Compared to their linear specification, we find that the response of
exchange rates to order flow may depend on market historical volatility. If market historical
volatility is high, a given order seems to have a lower price impact than in calmer periods.
Overall, our simple threshold mechanism has the power to produce higher correlation
Document typeArticle
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