The composition of amounts outstanding in over-the-counter derivatives shifted towards the euro and cleared instruments. Since the Great Financial Crisis, increases in central clearing rates have helped shape growth in amounts outstanding. Derivatives subject to regulatory clearing mandates were...

We show that there is a distinct commodity-related driver of exchange rate movements, even at fairly high frequencies. Commodity prices predict exchange rate movements of eleven commodity-exporting countries in an in-sample panel setting for horizons up to two months. We also find evidence of...

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...

We document that the carry of crypto futures, i.e., the difference between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time. This behavior is most consistent with the existence of a highly volatile crypto convenience yield that stems from two main...

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...