Banti, Chiara; Phylaktis, Kate; Sarno, Lucio - In: Journal of International Money and Finance 31 (2012) 2, pp. 267-291
Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we 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...
