Price-setting in the foreign exchange swap market: Evidence from order flow
نویسندگان
چکیده
Using transaction level data from the inter-dealer market, we find that price impact of one standard deviation change in FX swap order flow has increased less than basis point prior to 2008 about five points after 2008. However, increase is confined periods elevated dispersion funding costs and over quarterends. Central bank lines reduce into USD, subsequently affecting forward rate. In contrast, quarter-ends monetary policy announcements observe dealers immediately adjust prices curb flow.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2022
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2022.07.004