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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 11
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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 88 -
PublicationHow Do Individual Accounts Work in the Swedish Pension System?In 1998, Sweden introduced a second tier of mandatory individual accounts in the public pension system. This paper examines investment choice in the Swedish individual account scheme focusing on two aspects of the investment decision: Do workers with high risk in their human capital diversify their overall portfolio by investing their pension funds in low-risk funds? And to what extent do participants exhibit "home bias" and invest in Swedish assets? Two pieces of evidence support rational investment decisions. First, we establish a positive relationship between income and the level of risk. Second, married participants appear to pool their risks. On the other hand, the results show that participants at the bottom of the income distribution take on as much risk as those at the top, indicating that they are not diversifying their overall portfolio. Finally, participants employed in sectors that are affected by foreign competition are less likely to diversify their portfolios and invest in foreign assets compared to the public sector. Instead, these workers exhibit "home bias" in their investments.Type: journal articleJournal: Journal of the European Economic AssociationVolume: 5Issue: 2/3
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PublicationType: conference paper
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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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PublicationThe Swedish Business Cycle: Stylized facts over 130 years(Oxford University Press, 1994)
;Hassler, John ;Lundvik, Petter ;Persson, TorstenType: book section -
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