文档介绍：Order Flow and Exchange Rate Dynamics
Martin D. D. Evans* 
Richard K. Lyons
This draft: 29 January 2001
Abstract
Macroeconomic models of nominal exchange rates perform poorly. The propor-
tion of monthly exchange rate changes that these models can explain is essen-
tially zero. This paper presents a model of a new kind. Instead of relying exclu-
sively on macroeconomic determinants, the model includes a determinant from
the field of microstructure—order flow. Order flow is the proximate determinant
of price in all microstructure models. This is a radically different approach to ex-
change rate determination. It is also strikingly essful in accounting for real-
ized rates. Our model of daily changes in log exchange rates produces R2 statis-
tics above 60 percent. For the DM/$ spot market, we find that $1 billion
dollar purchases increases the DM price of a dollar by about percent.
Correspondence
Richard K. Lyons
Haas School of Business, UC Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059, Fax: 510-643-1420
******@
/~lyons
*  Respective affiliations are etown University and NBER, and UC Berkeley and NBER. We
thank the following for ments: two anonymous referees, Massimiliano Croce, Menzie
Chinn, Peter DeMarzo, Frank Diebold, Petra Geraats, Eric Jondeau, Robert McCauley, Richard
Meese, Michael Melvin, Peter Reiss, Andrew Rose, Mark Taranto, Ingrid Werner, Alwyn Young, and
seminar participants at Chicago, Wharton, Columbia, MIT, Iowa, Houston, Stanford, UC Berkeley,
the 1999 NBER Summer Institute (IFM), the December 1999 NBER program meeting in Microstruc-
ture, and the August 2000 BIS workshop on Market Liquidity. Lyons thanks the National Science
Foundation for financial assistance.
Order Flow and Exchange Rate Dynamics
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