We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate … estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries …

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 …

financial stability. However, there is a lack of analysis of their effect on foreign exchange (FX) market liquidity. In … capital controls on alternative indicators of FX liquidity. In this paper, we introduce a theoretical model showing that, if … liquidity). On the other hand, if capital controls are modelled as transaction costs, they can reduce the effective spread (a …