Item Type |
Monograph
(Working Paper)
|
Abstract |
We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed
and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses. |
Authors |
Karnaukh, Nina; Ranaldo, Angelo & Söderlind, Paul |
Language |
English |
Keywords |
exchange rates, liquidity, transaction costs, commonality, low-frequency
data |
Subjects |
business studies |
HSG Classification |
contribution to scientific community |
Refereed |
No |
Date |
2014 |
Publisher |
SoF Working Paper Series |
Place of Publication |
St. Gallen |
Series Name |
SoF Working Paper Series |
Number |
2013/15 |
Depositing User |
Nina Karnaukh
|
Date Deposited |
24 Sep 2013 11:26 |
Last Modified |
01 Feb 2023 01:22 |
URI: |
https://www.alexandria.unisg.ch/publications/225842 |