Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

Appendix available here: "https://ssrn.com/abstract=3381004" https://ssrn.com/abstract=3381004.We examine the design and effectiveness of the 4pm Fix, the most important benchmark in FX markets, using a unique dataset of trader identified orderbook data from an inter- dealer venue. We propose...

Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency option pricing model. The position-unwinding likelihood indicator is in nature driven by interest rate differential and currency volatility, and highly correlated with global...

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The dollar factor volatility risk premium is negative...

The use of futures exchange contracts instead of forwards completes the maturityspectrum of the correlation between the spot yield and the premium. We find that theforward premium puzzle (FPP) depends significantly on the maturity horizon of thefutures contract and the choice of the sampling...

The deepening of the recent crisis was driven by the simultaneous devaluation of stock wealth, housing wealth and commodity wealth. The potential for this devaluation process had been “built up” during the boom of stock prices, house prices and commodity prices between 2003 and 2007. Hence,...

The idea of introducing a general financial transaction tax (FTT) has recently attracted rising attention. There are three reasons for this interest: First, the economic crisis was deepened by the instability of stock prices, exchange rates and commodity prices. This instability might be...

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...