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Title: Essays on foreign exchange markets
Author: Mukherjee, Satrajit
ISNI:       0000 0004 5991 4042
Awarding Body: Queen's University Belfast
Current Institution: Queen's University Belfast
Date of Award: 2015
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Market microstructure and imperfect information in macroeconomics both highlight the importance of private information in a rational expectations framework. This thesis draws on both sources to understand exchange rate forecasting errors. A theoretical model is developed showing that exchange rate forecasting errors depend on both forecast revisions as in the Woodford imperfect information model and order flow as in the Evans-Lyons simultaneous trade model. Empirically, the results were encouraging and the analysis concluded that apparently irrational forecast errors in the foreign exchange markets can be rationally explained by forecast revisions and order flow.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available