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Monetary policy in an oil-dependent economy in the presence of multiple shocks

Drygalla, Andrej - Leibniz-Institut für Wirtschaftsforschung Halle - 2017

Russian monetary policy has been challenged by large and continuous private capital outflows and a sharp drop in oil prices during 2014, with both ongoings having put a significant depreciation pressure on the ruble and having led the central bank to eventually give up its exchange rate...

Persistent link: https://www.econbiz.de/10011657233

Effects of Capital Controls on Foreign Exchange Liquidity

Cantú, Carlos - 2017

financial stability. However, there is a lack of analysis of their effect on foreign exchange (FX) market liquidity. In … capital controls on alternative indicators of FX liquidity. In this paper, we introduce a theoretical model showing that, if … liquidity). On the other hand, if capital controls are modelled as transaction costs, they can reduce the effective spread (a …

Persistent link: https://www.econbiz.de/10012948582

Evaluating the Portfolio Rebalancing Hypothesis in the Presence of the International Goods Market

McKinnon, Kate - 2020

A relatively recent approach to examining the currency-equity return relationship argues that the portfolio rebalancing activities of investors gives rise to an Uncovered Equity Parity condition (UEP), whereby higher relative equity returns in one country are associated with a currency...

Persistent link: https://www.econbiz.de/10012846549

Funding under borrowing limits in international portfolios

Trani, Tommaso - 2012

I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset...

Persistent link: https://www.econbiz.de/10009490166

Global Liquidity Risk in the Foreign Exchange Market

Banti, Chiara - 2011

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analogue of the well-known Pastor-Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …

Persistent link: https://www.econbiz.de/10013118806

Liquidity Comovement in the Foreign Exchange Market

Kaul, Aditya - 2013

market spreads. Thus, comovement in liquidity is even more pervasive than previously documented. Second, we explore the … liquidity remains strong. This result suggests that correlated adverse selection effects across currencies and across currencies … and stocks are an important driver of liquidity comovement, and is consistent with a recent literature on aggregate …

Persistent link: https://www.econbiz.de/10013092493

Commonality in FX Liquidity : High-Frequency Evidence

Sensoy, Ahmet - 2020

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets … at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has … increases this commonality. Moreover, commonality in FX liquidity has a significant positive impact on the commonality in FX …

Persistent link: https://www.econbiz.de/10012838964

FX Spot and Swap Market Liquidity Spillovers

Krohn, Ingomar - 2020

We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. Trading in FX swaps exceeds that … of spot, yet this market segment has been largely ignored in prior research on liquidity in FX markets. We find strong co …-movement in spot and swap market liquidity conditions and a strong link between FX funding and market liquidity, as gleaned from …

Persistent link: https://www.econbiz.de/10012841858

FX Spot and Swap Market Liquidity Spillovers

Krohn, Ingomar - 2020

Persistent link: https://www.econbiz.de/10012853210

Trading volume, illiquidity and commonalities in FX markets

Ranaldo, Angelo; Santucci de Magistris, Paolo - 2018

In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors in a multi-currency environment. Through the...

Persistent link: https://www.econbiz.de/10011946662