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...

In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...

The corporate basis measures the pricing difference between dollar and foreign currency bonds issued by the same corporate entity. In this paper, we decompose the basis into a risky asset yield spread, a safe asset convenience yield, and FX hedging costs with the covered interest rate parity...