Paul Söderlind
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Prof. PhD.
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Söderlind
First name
Paul
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paul.soderlind@unisg.ch
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https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=25146

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Understanding FX Liquidity

2015-11 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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.

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Publication

Measuring Liquidity in the Foreign Exchange Market

2013-04-11 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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Understanding FX liquidity

2014-05-21 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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Understanding FX Liquidity

2015-01-04 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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 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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Measuring Liquidity in the Foreign Exchange Market

2013-06-28 , Ranaldo, Angelo , Karnaukh, Nina , Söderlind, Paul

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Publication

Understanding FX liquidity

2013-12-17 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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.

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Understanding FX Liquidity

2014-10-03 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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Understanding FX Liquidity

2014-04-11 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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Publication

Understanding FX Liquidity

2014 , Karnaukh, Nina , Ranaldo, Angelo , Söderlind, Paul

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.

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