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 devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

swaps reduces pension funds' exposure to interest rate risk, it exposes pension funds to liquidity risk because of potential …