The 2019 BIS Triennial Central Bank Survey provided new insights about the boost that electronification gave to trading in FX and OTC derivatives markets, and the role of compression and clearing in containing the growth of outstanding derivatives exposures

This special feature looks at trading activity in the foreign exchange market between the Triennial Surveys conducted in 2010 and 2013 and in the months following. We estimate that the $5.3 trillion per day reported for April 2013 was a peak, with activity falling subsequently by $300 billion to...

Derivatives markets in emerging economies have continued to grow since 2010, driven mostly by very strong growth in the OTC market. Emerging market currencies have become more international as offshore markets are a major contributor to FX turnover. The Chinese renminbi is actively traded within...

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

Many of the leading models of the carry trade imply that, contrary to the empirical evidence, a country's currency depreciates in times of high consumption and output growth, a manifestation of the Backus and Smith (1993) puzzle. We propose a modification of these models to account for financial...

This report seeks to shed light on the characteristics of currency carry trades in Latin America. Partly reflecting the degree of financial market integration and development, as well as the effects of regulation, carry trades in the region have typically been implemented by taking long forward...

I empirically examine the system-wide volatility connectedness risk of currencies as an explanation for the risk premium of carry trade returns. Carry trade strategies exploit the forward premium puzzle by borrowing in low interest rate currencies and investing in high interest currencies...

In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called Commodity Trading Advisors (CTAs). We investigate to what extent these positions exhibit a pattern of USD carry trading or other patterns of currency trading...

We document carry trade returns based on the moments extracted from options on the underlying currencies. We establish three important results. First, a currency pair is predicted to have greater excess returns if option-implied returns are more volatile, are more left-skewed, and have fatter...

Carry trading is one of the most popular currency trading strategies. The aim of this paper is to apply and analyze the approach described in Baz et al. (2015) by utilizing the G10 currency cross rates and the 3-month Libor rates. The carry trading strategy is well documented and widely used by...