- violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …

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 … channel for FX swaps during reporting windows. Third, we build a measure of pricing efficiency based on the law of one price …

several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The …

foreign currency receiving swaps, which also resulted in large (negative) CIRS spreads. The commonly used CIRS transactions in … the Hungarian market are floating-floating type basis swaps, and thus they are basically not used for interest rate risk …

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with … were generally strengthened. The influence of euro and swiss cross-currency swaps on other European cross-currency swaps … generally increased after the crisis; the swiss cross-currency swap became several times more influential on all European cross …

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with … were generally strengthened. The influence of euro and Swiss cross-currency swaps on other European cross-currency swaps … generally increased after the crisis; the Swiss cross-currency swap became several times more influential on all European cross …

We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates … regression model rejects the hypothesis that the forward rate is an unbiased predictor of future spot exchange rate, indicating …

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We … model is its failure to use information on current period forward rates in extracting the risk premium …