Research Department

Macroeconomic information is identified to be a determinant of changes in order flow, which implies that exchange rate fluctuations are linked to macroeconomic fundamentals both via

The table reports results from estimating a panel regression model with one-way fixed effects (least squares dummy variable estimation) for five measures of liquidity as the

2 There are important differences between the monetary policy transmission mechanism in closed and open economies.In closed economies, monetary policy affects inflation mainly

Stock Volatility: Volatility of the stock's returns, estimated using one year of returns, Firm Size: The value of the company's equity, Bid/Ask spread: Relative bid/ask spread (P a P

In this period, expected underlying inflation will be back on target and the central bank sets a neutral policy stance by raising the interest rate back to the natural level3.

The table shows the rank correlations between nine different liquidity measures: annual turnover, annual average quoted spread, annual average relative spread, the annual number

In addition to implying that there is a full pass-through of long-term US interest rates into the corresponding German rate in the long run, this suggests that monetary policy could

17 To summarize the results of our asset pricing tests when we try to price the 25 Fama-French portfolios, we find it interesting that only the trade based factor, Factor 2 can