Fischer, Andreas; Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2008
Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the … hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The … that trading volume increases in the order of 5% across currency areas on FOMC days during 2003 to 2007. This result holds …
