FX spot and swap market liquidity spillovers

被引：5

作者：

Krohn, Ingomar ^{[1
]}

Sushko, Vladyslav ^{[2
]}

机构：

[1] Bank Canada, 234 Wellington, Ottawa, ON K1A 0G9, Canada

[2] Bank Int Settlements, Representat Off Asia & Pacific, 78th Floor,Two Int Finance Ctr,8 Finance St, Hong Kong, Peoples R China

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2022年 / 120卷

关键词：

Foreign Exchange; Market and funding liquidity; Microstructure; Dealer activity; Window dressing; PRICE DISCOVERY; ANNOUNCEMENTS; INFORMATION; DEVIATIONS; RISK;

D O I：

10.1016/j.jimonfin.2021.102476

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. We find strong co-movement in spot and swap market liquidity conditions and a robust link between FX funding and market liquidity, as gleaned from the pricing of both instruments. This link has strengthened over time. Dealing desks of globally systemically important banks periodically pull back from pricing FX swaps, particularly those that operate closer to regulatory capital or liquidity minimums. While wider spreads attract smaller dealers, liquidity in FX swaps remains impaired, which leads to illiquidity spillovers to the spot market. Our findings suggest that funding liquidity has become a more important driver of spot market liquidity than it used to be. (c) 2021 Elsevier Ltd. All rights reserved.

引用

页数：18

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