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

funding costs and quarter-end periods. We find central bank swap lines reduced the order flow to obtain USD through FX swaps …This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we … find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the …

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 …

-ends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter … change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008 …

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 …