This study investigates the role of currency order flow in explaining the emerging Asian markets' exchange rates relying on linear and nonlinear modeling. The daily currency order flow of the US dollar relative to the nine important Asian currencies is constituted and explored with the respective exchange rates. First, we find that order flow affects the spot exchange rate positively for the sampled Asian currencies which indicates that the buying pressure of the US dollar depreciates Asian currencies. Second, the effect of order flow is asymmetric which explains that a surge and a fall in order flow have different effects on the exchange rate. This study unlocks the contribution of the market microstructure research where the asymmetries improve the power to explicate exchange rates. The nonlinear model forecasting performance validates this stance.

本研究利用线性和非线性模型研究货币订单流在解释新兴亚洲市场汇率方面的作用。美元相对于亚洲九种重要货币的每日货币订单流由各自的汇率构成和探索。首先，我们发现订单流对样本亚洲货币的即期汇率产生了积极影响，这表明美元的买盘压力使亚洲货币贬值。其次，订单流的影响是不对称的，这解释了订单流的激增和下降对汇率的影响不同。这项研究揭示了市场微观结构研究的贡献，其中不对称性提高了解释汇率的能力。