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 …

dominant electronic trading platform used on this market. We provide an in-depth view of the structure and liquidity of … market liquidity. Trading intensity and liquidity show large variations, both intra-day and between days. Our statistics …

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

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

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

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). …