The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an...

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an...

The aim of this paper is to detect periods in which two currencies can be classified as being theʺsameʺ asset. Two currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...