In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...

Foreign currency denominated debt as an influence of exchange rate pressure during the 2008 global crisis is explored across 58 countries. Countries with higher ratios of foreign currency denominated debt to total international debt experienced significant currency depreciation during the global...

We explore the role of financial openness – capital account openness and gross capital inflows – and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...

On the last 3 months, there have been some concerns over the weakening of Indonesian Rupiah currency that mostly driven by bearish trend in Indonesia's equity market. Though the explanation of this correlation is known mostly due to foreign capital flow in the equity market (hot money), it...

This paper assesses the financial channel of exchange rate fluctuations for emerging countries and the link to the conventional trade channel. We analyze whether the effective exchange rate affects GDP growth, the domestic credit and the global liquidity measure as the credit in foreign...

In this paper we provide strong evidence that heightened uncertainty in the U.S. real economy or financial markets significantly raises excess returns to the currency carry trade. We posit that this works through the influence of uncertainty on global investors' risk preferences. Macro and...