SDR adjustment and FX liquidity

被引：0
|
作者：
Chen, Yu-Lun [1 ]
Yang, J. Jimmy [2 ]
机构：
[1] Chung Yuan Christian Univ, Chungli, Taiwan
[2] Oregon State Univ, Coll Business, Sch Accounting Finance & Informat Syst, Corvallis, OR USA
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2025年 / 91卷
关键词：
Special drawing rights (SDR); Liquidity spillover; Liquidity commonality; ASK; PRICES; RISK;
D O I：
10.1016/j.pacfin.2025.102711
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of down-weighted currencies declines significantly. The SDR adjustment increases the FX liquidity commonality and enhances the liquidity spillover and risk transmission from EUR, JPY, and GBP to other world currencies. We identify major determinants of FX liquidity and highlight important policy implications.
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页数：18
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