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 …

return spread in five carry trade portfolios. Further analyses show that: (i) liquidity risk also matters for excess returns …

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange … consistent with liquidity provision. …

, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure …

to June 30, 2003 (a time period in which Brazil suffered two severe external liquidity shocks). …

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analog 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 …

, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure …

currencies, longer samples, transaction costs, international stock indices, and other proxies for volatility and liquidity. Our …