| Item Type |
Presentation
|
| Abstract |
Previous studies of liquidity in the foreign exchange (FX) market span short time
periods or focus on specific measures of liquidity. In contrast, we provide a comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. After identifying the most accurate liquidity proxies based on low-frequency and readily available data, we show that commonality in FX liquidities is stronger for developed currencies and in highly volatile
markets. We also show that FX liquidity deteriorates with risk in stock, bond and FX
markets, and that riskier currencies are more exposed to liquidity drops. |
| 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 |
17 December 2013 |
| Event Title |
Third workshop on financial determinants of exchange rates |
| Event Location |
I - Rome |
| Depositing User |
Nina Karnaukh
|
| Date Deposited |
10 Jan 2014 10:59 |
| Last Modified |
22 Mar 2023 01:22 |
| URI: |
https://www.alexandria.unisg.ch/publications/228523 |
Understanding FX liquidity
