Fischer, Andreas M.; Ranaldo, Angelo - In: Journal of Banking & Finance 35 (2011) 11, pp. 2965-2973
Does global currency volume increase on Federal Open Market Committee (FOMC) days? To test hypotheses of abnormal currency volume on FOMC days, a new data set from the Continuous Linked Settlement (CLS) Bank is used. The CLS measure captures more than half of the global trading volume in foreign...