High-frequency information content in end-user foreign exchange order flows

This article considers the impact of foreign exchange (FX) order flows on contemporaneous and future stock market returns using a new database of customer order flows in the euro-dollar exchange rate market as seen by a leading European bank. We do not find clear contemporaneous relationships between FX order flows and stock market changes at high frequencies, but FX flows do appear to have significant power to forecast stock index returns over 1–30 min horizons, after controlling for lagged exchange rate and stock market returns. The effects of order flows from financial customers on future stock market changes are negative, while the effects of corporate orders are positive. The latter results are consistent with the premise that corporate order flows contain dispersed, passively acquired information about fundamentals. Thus, purchases of the dollar by corporate customers represent good news about the state of the US economy. Importantly, though, there also appears to be extra information in corporate flows which is directly relevant to equity prices over and above the impact derived from stock prices reacting to (predicted) exchange rate changes. Our findings suggest that financial customer flows only affect stock prices through their impact on the value of the dollar.     

Public information releases, private information arrival and volatility in the foreign exchange market

This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote arrival, separated into a predictable seasonal component and an unexpected component. Results indicate that both components of market activity, as well as news releases, affect volatility levels. We conclude that both private information and news effects are important determinants of exchange rate volatility. Our finding that unexpected quote arrival positively impacts foreign exchange rate volatility is consistent with the interpretation that unexpected quote arrival serves as a measure of informed trading. Corroborating this interpretation is regression analysis, which indicates that spreads increase in the surprise component of the quote arrival rate, but not in the expected component. The estimated impact of a unit increase in unexpected quote arrival and the range of values observed for this variable imply an important volatility conditioning role for informed trading.     

The incremental volatility information in one million foreign exchange quotations

The volatility information found in high-frequency exchange rate quotations and in implied volatilities is compared by estimating ARCH models for DM/$ returns. Reuters quotations are used to calculate five-minute returns and hence hourly and daily estimates of realised volatility that can be included in equations for the conditional variances of hourly and daily returns. The ARCH results show that there is a significant amount of information in five-minute returns that is incremental to options information when estimating hourly variances. The same conclusion is obtained by an out-of-sample comparison of forecasts of hourly realised volatility.     

商业银行外汇综合信息系统解决方案

中国加入WTO之后,根据有关承诺,外资银行可以对中资企业和中国居民开办外汇业务,这将对中资银行的外汇业务形成冲击。为适应新形势,中资银行加大了外汇业务电子化投入的力度。但是,相对于人民币业务,外汇业务由于长期受政策限制,中资银行的外汇业务反而是相对落后的。具体体现在:缺乏统一规划,相关信息不能共享,不能实现资源的最大利用;部分业务尤其是外汇业务的后台管理,仍停留在手工操作阶段。各商业银行改进和更新外汇业务信息系统已经迫在眉睫。本文按照可靠性、安全性、可扩充性原则设计商业银行外汇业务的功能架构和系统架构,并采用…     

对建设智能化外汇统计信息系统的几点设想

外汇统计是外汇管理的重要组成部分,信息采集是外汇统计的基础,只有真实、准确、完整的统计信息,才能及时反映外汇市场供求关系、汇率的波动,确保外汇管理决策者及时了解外汇交易情况、外汇收支变化,从而适应市场状况,有针对性地制定管理措施。但是我们在调查中发现,目前外汇管     

The cointegration relationships among G-7 foreign exchange rates

A search method is applied to foreign exchange rates of G-7 countries, in terms of the US dollar, to estimate cointegration relationships. The method searches numerically, by strictly following the definition of the cointegration, a particular linear combination of nonstationary series in order to make it a stationary series. The list of those exchange rates which are cointegrated from the new method is very different from those derived from the conventional maximum likelihood estimation or ordinary least squares methods. The new method also provides confidence intervals for cointegration coefficients. From the confidence intervals, it is determined that certain G-7 currencies expressed in terms of the mark or the pound become stationary.     

外汇信息安全等级保护的要求与实践

为了贯彻落实国家信息化领导小组《关于加强信息安全保障工作的意见》和《关于信息安全等级保护工作的实施意见》,做好外汇信息安全等级保护工作,国家外汇管理局（以下简称“外汇局”）制定了《国家外汇管理局信息安全等级保护工作实施计划》,并下发给各省分局要求参照执行,这标志着我国外汇信息安全等级保护工作已全面开展。     

外汇信息系统整合现状与对策

近年来,国家外汇管理局（以下简称“外汇局”）信息化建设进入了快速发展阶段,国际收支统计监测系统、出口核报系统、外汇账户管理信息系统等在全国各分支局广泛推广应用,大大提高了外汇信息化管理水平。随着外汇管理政策的变化和业务量的增加,这些系统不断优化和完善。为了适应新形势下外汇监管的需要,更好地贯彻落实外汇局“十一五”信息化发展规划,我们应重点考虑如何推进信息系统整合,综合开发和利用信息资源,增加系统中的数据分析产品,进一步提高外汇监管水平。     

国家外汇信息管理决策系统示范工程

一、工程目标本示范工程的目标是:建立集数据采集、业务管理与辅助决策于一体的综合信息服务平台,为国家外汇管理局的三大职能(真实性审核、统计分析与预警、外汇立法)提供技术支撑。其主要内容包括:建立统一的数据采集体系;利用数据仓库技术,建立有效的信息利用机制,实现信息增值;建立外汇收支和国际收支综合分析体系;逐步建立以交易主体为监管重点的综合监控管理模式。二、国家外汇信息管理决策系统的完成情况国家外汇管理局承担的国家外汇信息管理决策系统专题的研究内容是建立集数据采集、业务管理与辅助决策于一体的国家外汇管理综合信…     

打造IT综合信息平台提升外汇管理水平

在中国的几大金融机构中，国家外汇管理局（以下简称“外汇局”）是行使国家宏观调控四大职能之一——平衡国际收支，负责外汇收支管理工作，并为国家宏观决策提供依据的重要政府职能部门。其监管对象涉及全社会。在中国金融电子化、信息化发展的20多年历程中，外汇局的信息化建设是浓墨重彩的一笔。2007年1月21日，在全国外汇管理工作会议上，中国人民银行副行长、国家外汇管理局局长胡晓炼对外汇局的信息化给予了充分肯定，并在2007年外汇管理主要工作部署中强调，在我国金融市场全面对外开放的新形势下，要进一步积极采取先进的技术手段实施监管，没有有效的手段，外汇管理就像“稻草人”，形同虚设。今年的重点是对异常跨境资金流动和非法外汇交易实行严密监控，进一步提升外汇管理信息化水平，提高现场检查和非现场检查的效率，确保各项政策取得实效。     

Corporate cash flow and stock price exposures to foreign exchange rate risk

This paper estimates the foreign exchange rate exposure of 6917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors.     

Order flow, bid-ask spread and trading density in foreign exchange markets

This paper examines the implications of market microstructure for foreign exchange markets. We argue that the usual order flow model needs to be recast in broader terms to incorporate the transaction costs of liquidity and the limitation of price discovery through order flows that involve low trading density currencies. Using a daily data set, we find that order flows are inadequate when it comes to explaining the changes in the low trading density currencies. Alternatively, within the high trading density, both order flows and bid-ask spreads significantly affect the foreign exchange rate returns. Our findings suggest that the order flow model is better at incorporating these microstructure effects except for some currencies with a very high level of trading density.     

Direct versus indirect regression estimates of foreign exchange cash flow exposure

To estimate foreign exchange (FX) cash flow exposure, one may choose between direct and indirect regression approaches, where the direct approach uses accounting-based cash flow data and the indirect approach uses equity returns as a cash flow proxy. The indirect approach typically includes one or more additional independent variables to control for the impact of FX changes on the required rate of return. Frequently, the control variable is an equity index. We propose that using a bond return control variable instead of equity returns addresses several theoretical problems inherent in the indirect estimation approach. In our empirical analysis we find that using the bond-based control variable results in FX cash flow exposure estimates that are more highly correlated with direct measures than using an equity index as a control variable.     

An investigation of customer order flow in the foreign exchange market

This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make several contributions. Firstly, we investigate the extent to which customer order flow can help to explain exchange rate movements over and above the influence of macro-economic variables. Secondly, we address the issue of whether order flows contain (private) information which explain exchange rates changes. Thirdly, we look at the usefulness of order flow in forecasting exchange rate movements at longer horizons than those generally considered in the micro-structure literature. Finally we address the question of whether the out-of-sample exchange rate forecasts generated by order flows can be employed profitably in the foreign exchange markets.     

Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets

This paper proposes a novel interconnected multilayer network framework based on variance decomposition and block aggregation technique, which can be further served as a tool of linking and measuring cross-market and within-market contagion. We apply it to quantifying connectedness among global stock and foreign exchange (forex) markets, and demonstrate that measuring volatility spillovers of both stock and forex markets simultaneously could support a more comprehensive view for financial risk contagion. We find that (i) stock markets transmit the larger spillovers to forex markets, (ii) the French stock market is the largest risk transmitter in multilayer networks, while some Asian stock markets and most forex markets are net risk receivers, and (iii) interconnected multilayer networks could signal the financial instability during the global financial crisis and the COVID-19 crisis. Our work provides a new perspective and method for studying the cross-market risk contagion.     

Asset pricing and foreign exchange risk

According to the International Capital Asset Pricing Model (ICAPM), the covariance of assets with foreign exchange currency returns should be a risk factor that must be priced when the purchasing power parity is violated. The goal of this study is to re-examine the relationship between stock returns and foreign exchange risk. The novelties of this work are: (a) a data set that makes use of daily observations for the measurement of the foreign exchange exposure and volatility of the sample firms and (b) data from a Eurozone country.The methodology we make use in reference to the estimation of the sensitivity of each stock to exchange rate movements is that it allows regressing stock returns against factors controlling for market risk, size, value, momentum, foreign exchange exposure and foreign exchange volatility. Stocks are then classified according to their foreign exchange sensitivity portfolios and the return of a hedge (zero-investment) portfolio is calculated. Next, the abnormal returns of the hedge portfolio are regressed against the return of the factors. Finally, we construct a foreign exchange risk factor in such manner as to obtain a monotonic relation between foreign exchange risk and expected returns.The empirical findings show that the foreign exchange risk is priced in the cross section of the German stock returns over the period 2000-2008. Furthermore, they show that the relationship between returns and foreign exchange sensitivity is nonlinear, but it takes an inverse U-shape and that foreign exchange sensitivity is larger for small size firms and value stocks.     

信息不对称条件下的外汇市场宏观审慎管理

由于外汇市场存在噪声交易,央行的及时有效管理不可或缺。然而,投资者交易策略的信息不对称给央行汇率市场管理带来了巨大挑战。因此,研究提出信息不对称条件下的外汇市场宏观审慎管理模型,以投资者历史交易行为作为其选择未来交易策略的估计依据。为了使得模型更具实践意义,进一步优化模型为信息不对称条件下的权重区间宏观审慎管理模型,央行仅在投机性交易者占比超过一定程度时进行宏观审慎管理。通过蒙特卡洛模拟,我们发现信息不对称条件下的宏观审慎管理模型可以有效降低噪声交易带来的汇率非理性波动。优化后的权重区间宏观审慎管理模型的管理效果接近于基础的宏观审慎模型的管理效果,但其成本更低,因此更具有实践应用的参考价值。     

跨国公司外汇资金管理

跨国公司通过在全球范围内的资金集中管理,既可牢牢控制成员公司的财权和决策权,又可取得资金使用效率的最大化。     

Spot and forward volatility in foreign exchange

This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new dataset of spot implied volatility quoted on over-the-counter currency options, we compute the forward implied volatility that corresponds to the delivery price of a forward contract on future spot implied volatility. This contract is known as a forward volatility agreement. We find strong evidence that forward implied volatility is a systematically biased predictor that overestimates movements in future spot implied volatility. This bias in forward volatility generates high economic value to an investor exploiting predictability in the returns to volatility speculation and indicates the presence of predictable volatility term premiums in foreign exchange.