We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily-available data. Second, we demonstrate that FX liquidity...

The Internet Appendix discusses details, additional results and robustness checks on the paper.The paper "Understanding FX Liquidity" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2329738" http://ssrn.com/abstract=2329738

We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We...

We study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and...

Meine Dissertation besteht aus drei Arbeiten zum Thema Wechselkurse: (1) Liquidität in Devisenmärkten, (2) Währungsstrategien und Länderrisiko, (3) Zusammenhang zwischen Devisen-, Anleihenmärkte und Geldpolitik. Die erste Arbeit ist in Zusammenarbeit mit Prof. Angelo Ranaldo und Prof. Paul...

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily-available data. Second, we demonstrate that FX liquidity...