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...Bis working papers no fx spot and swap market liquidity spillovers by ingomar krohn vladyslav sushko monetary economic department november revised june jel classification f g keywords foreign exchange funding microstructure dealer activity window dressing are written members of the bank for international settlements from time to other economists published on subjects topical interest technical in character views expressed them those their authors not necessarily this publication is available website www org all rights reserved brief excerpts may be reproduced or translated provided source stated issn print online fxspot abstract westudythejoint evolution liquid ity trading swaps exceeds that yet segment has been largely ignored prior research markets we nd strong co movement conditions a robust link between as gleaned pricing both instruments strengthened over with changes quoting behaviour partici pation some largest dealers periodically pull back wider spreads attract smaller at same...