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 …

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analogue of the well-known Pastor-Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …

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 …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

-scale analysis of financial data. We define an information theoretic measurement termed Liquidity that characterises the unlikeliness … show empirical examples within the Foreign Exchange market where the new measure not only quantifies liquidity but also …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

their expansionary consequences. The main policy tool for this task is sterilization--essentially a swap of international … the international liquidity management aspect of sterilization over the traditional monetary one, a re-focus that seems … liquidity management issues more generally …

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 …

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 …