The study of financial shock propagation across markets has motivated numerous researchers to investigate the mechanisms of return and volatility spillovers to prevent harmful shock transmission. This article studies the contemporaneous spillovers by employing a structural vector autoregressive...

FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while the latter trade for liquidity...

This paper investigates the existence of time-varying risk premia in deviations from uncovered interest parity based on the market capital asset pricing model. The empirical analysis is conducted using a broad data set of seven major currencies against the US dollar, and a world equity index in...

The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...

This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial...

Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005-2013, we analyze the impact of trading hours extensions on volatility. During the sample...

There are several econometric studies in the literature discussing the empirics of the foreign exchange rate movements and the volatility of the foreign exchange and its association with some fundamentals under different exchange rate regimes in Turkey. However,all these concentrate on the...

Five articles in this special edition of the BIS Quarterly Review provide new insights about foreign exchange (FX) and over-the-counter derivatives markets by drawing on the data compiled in the 2022 BIS Triennial Central Bank Survey. In the FX space, an accelerating shift towards less "visible"...

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market. Our analysis employs effective measures that assess both the tightness and depth of the global market. We identify three main findings: First, FX swap liquidity is fragmented...

We employ a threshold vector error correction model approach to investigate the impact of China's exchange rate marketization reform in August 2015 on the linkage between renminbi (RMB) onshore (CNY) and offshore (CNH) exchange rates and the impact of post-reform policy interventions by the...