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Paul Söderlind
Title
Prof. PhD.
Last Name
Söderlind
First name
Paul
Email
paul.soderlind@unisg.ch
SSRN
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=25146
Now showing
1 - 10 of 12
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PublicationUnderstanding FX LiquidityWe 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.Type: journal articleJournal: Review of Financial StudiesVolume: 28Issue: 11DOI: 10.1093/rfs/hhv029
Scopus© Citations 91 -
PublicationThe Time-Varying Systematic Risk of Carry Trade Strategies(Cambridge University Press, 2011-08-01)
;Christiansen, CharlotteWe explain the currency carry trade (CT) performance using an asset pricing model in which factor loadings are regime dependent rather than constant. Empirical results show that a typical CT strategy has much higher exposure to the stock market and is mean reverting in regimes of high foreign exchange volatility. The findings are robust to various extensions. Our regime-dependent pricing model provides significantly smaller pricing errors than a traditional model. Thus, the CT performance is better explained by a time-varying systematic risk that increases in volatile markets, suggesting a partial resolution of the uncovered interest parity puzzle.Type: journal articleJournal: Journal of Financial and Quantitative AnalysisVolume: 46Issue: 4Scopus© Citations 112 -
PublicationSafe Haven CurrenciesWe study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during crises. The latter effects were particularly discernible for the yen during the recent financial crisis.Type: journal articleJournal: Review of FinanceVolume: 14Issue: 3
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PublicationType: journal articleJournal: Financial Markets and Portfolio ManagementVolume: 23Issue: 4
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PublicationUnderstanding FX Liquidity( 2015-01-04)
;Karnaukh, NinaPrevious studies of liquidity in the foreign exchange (FX) market span short time periods or focus on specific measures of liquidity. In contrast, we provide the first comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. We show that FX liquidity deteriorates with risk in FX, stock, bond, and money markets, and it comoves with liquidity in bond and stock markets. We also show that commonality in FX liquidities increases in distressed markets and it is stronger for countries with high-quality institutions, financial integration, and price stability. -
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PublicationMeasuring Liquidity in the Foreign Exchange Market( 2013-04-11)
;Karnaukh, NinaType: conference paper -
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