The microstructure of the Canada/U.S. dollar exchange rate: A robustness test [An article from: Economics Letters]

This digital document is a journal article from Economics Letters, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The recent international economics literature suggests that market microstructure effects matter for exchange rate determination and forecasting. This paper investigates performance robustness of the pure microstructure Canada/U.S. dollar exchange rate model. It is found that, when used for forecasting, this microstructure model is very sensitive to the choice of time period and forecasting horizon.