We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. Trading in FX swaps exceeds that …-movement in spot and swap market liquidity conditions and a strong link between FX funding and market liquidity, as gleaned from … of spot, yet this market segment has been largely ignored in prior research on liquidity in FX markets. We find strong co …

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market … main findings: First, FX swap liquidity is fragmented across currencies, tenors, and time. Second, liquidity conditions …

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets … at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has … increases this commonality. Moreover, commonality in FX liquidity has a significant positive impact on the commonality in FX …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …

This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized … Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week …