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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Ranaldo, Angelo; Mancini, Loriano; Wrampelmeyer, Jan - Schweizerische Nationalbank (SNB) - 2010

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quantifies the amount of … commonality in liquidity across exchange rates, and determines the extent of liquidity risk premiums embedded in FX returns. The … new liquidity measure utilizes ultra high frequency data and captures cross-sectional and temporal variation in FX …

Persistent link: https://www.econbiz.de/10008925053

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Ranaldo, Angelo; Mancini, Loriano; Wrampelmeyer, Jan - Schweizerische Nationalbank (SNB) - 2009

Persistent link: https://www.econbiz.de/10008487541

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2016

Persistent link: https://www.econbiz.de/10011686871

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965

Persistent link: https://www.econbiz.de/10010197597

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most …

Persistent link: https://www.econbiz.de/10010407214

Understanding FX liquidity

Karnaukh, Nina; Ranaldo, Angelo; Söderlind, Paul - 2014 - This version: March 2014

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 …

Persistent link: https://www.econbiz.de/10010410328

Precious Metals Under the Microscope: A High-Frequency Analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. - School of Finance, Universität St. Gallen - 2014

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most …

Persistent link: https://www.econbiz.de/10011154569

The Time-Varying Systematic Risk of Carry Trade Strategies

Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - Schweizerische Nationalbank (SNB) - 2010

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

Persistent link: https://www.econbiz.de/10008917457

Intraday patterns in FX returns and order flow

Breedon, Francis; Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2011

Using 10 years of high-frequency foreign exchange data, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and find that, in the case...

Persistent link: https://www.econbiz.de/10008925041

Intraday Patterns in FX Returns and Order Flow

Breedon, Francis; Ranaldo, Angelo - School of Economics and Finance, Queen Mary - 2012

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

Persistent link: https://www.econbiz.de/10010780022