Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130775 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 761
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias. Using ten years of data on FX order flow we find that more than half of the forward bias is accounted for by order flow - with the rest being explained by expectational errors. We also find that carry trading increases currency-crash risk in that order flow generates negative skewness in FX returns.
Schlagwörter: 
Forward premium puzzle
FX microstructure
Carry trade
Survey data
JEL: 
F31
G14
G15
Dokumentart: 
Working Paper

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