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 paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market … main findings: First, FX swap liquidity is fragmented across currencies, tenors, and time. Second, liquidity conditions …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …

This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of … supports a range of determinants of global liquidity - including global risk, global bank equity and unconventional monetary … indicates heterogeneity in the influence of global liquidity on global flows across euro area bank type, defined by their …

issuance are significantly and positively related to lagged changes in aggregate local market liquidity. This relation is at … investor sentiment, as well as the exclusion of the financial crisis. Changes in liquidity are less relevant for firms that …

This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly …

This paper examines how cooperation between national securities regulators affects equity market liquidity, using the … enhanced liquidity, as indicated by narrower quoted bid-ask spreads. Incremental to this effect, I find larger liquidity … liquidity …

. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions … of global liquidity suppliers is correlated with the increase of over 400% in margin requirements, driving a pro …-cyclical downwards liquidity spiral. These effects are shown to be concentrated in securities most exposed to electronic liquidity …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …