This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998. The results show significant volatility spillover effects from DEM/USD to GBP/USD, while the feedback from the GBP/USD to DEM/USD is relatively small. We hypothesize that the different sizes of global order flow generated by these two exchange rates may be a major factor that contributes to such asymmetric linkages
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