understanding fx liquidity ninakarnaukh university of st gallen angelo ranaldo university of st gallen paul soderlind university of st gallen we provide a comprehensive study of the liquidity of spot ...
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...Understanding fx liquidity ninakarnaukh university of st gallen angelo ranaldo paul soderlind we provide a comprehensive study the spot foreign exchange rates over more than two decades and large cross section currencies first show that fxliquidity can be accurately measured with daily readily available data second demonstrate declines funding constraints global risk supporting theoretical models relating market in these distressed circumstances tends to evaporate for developed riskier finally stronger comovements liquidities markets especially when is constrained volatility high speculators incur losses jel f g marketliquidity an important feature all nancial yet relatively little known about clear why how illiquidity materializes still missing instance do not know fundamental sources driving comovementsinliquidityofindividualcurrencies commonality thispaper provides its thirty rst identify accurate measures then uncover which factors explain time series sectional variation depth at l...