This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the...

Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to...

Using textual analysis, we identify the set of Trump tweets that contain information on macroeconomic policy, trade, or exchange rate content. We then analyze the effects of Trump tweets on the intraday trading activity of foreign exchange markets, such as trading volume, volatility, and FX spot...