We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange … consistent with liquidity provision. …

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a … large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily …-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical …

period. First, we review the cost components that a liquidity provider on this type of market faces, and integrate them in an … third of the order processing costs and we also estimate the number of liquidity providers based on the risk component … selection risk increases during non-peak times, particularly because the risk that a liquidity provider will have to carry an …

We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks … are linked with news announcements or not. Prior to jumps, liquidity does not deviate from its normal level, nor do … liquidity shocks offer any predictive power for jump occurrence. Jumps emerge not as a result of unusually low liquidity but …

liquidity until their collapse. An official report (SIC, 2010) has, however, exposed severe weaknesses in the banks’ assets and … borrowers, while they should have been deleveraging and securing their liquidity positions in foreign currency. The banks also … before the collapse of October 2008 the banks all reported strong liquidity positions. These reports were misleading, but we …

questions on the nature of private information, the impact on market liquidity, and the changing process of price discovery. We …

, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure …

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analog of the well-known Pastor–Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …