We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. Trading in FX swaps exceeds that …-movement in spot and swap market liquidity conditions and a strong link between FX funding and market liquidity, as gleaned from … of spot, yet this market segment has been largely ignored in prior research on liquidity in FX markets. We find strong co …

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analogue of the well-known Pastor-Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

their expansionary consequences. The main policy tool for this task is sterilization--essentially a swap of international … the international liquidity management aspect of sterilization over the traditional monetary one, a re-focus that seems … liquidity management issues more generally …

-scale analysis of financial data. We define an information theoretic measurement termed Liquidity that characterises the unlikeliness … show empirical examples within the Foreign Exchange market where the new measure not only quantifies liquidity but also …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR …. Overall, these results suggest that arbitrage decreases price pressure and provides liquidity …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …