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We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the runup to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations....
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Meine Dissertation besteht aus drei Arbeiten zum Thema Wechselkurse: (1) Liquidität in Devisenmärkten, (2) Währungsstrategien und Länderrisiko, (3) Zusammenhang zwischen Devisen-, Anleihenmärkte und Geldpolitik. Die erste Arbeit ist in Zusammenarbeit mit Prof. Angelo Ranaldo und Prof. Paul...
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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...
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