This study examines the interconnectedness and idiosyncratic risks in sub-Saharan forex markets from 1999 to 2023. Using the TVP-VAR extended joint connectedness technique, we measure both the static and dynamic extended joint connectivity. Our analysis reveals that sub-Saharan forex markets are...

Controlling for macroeconomic indicators and trade openness, this study examined the impact of economic policy uncertainty on exchange market pressure for a panel of 25 countries from 2003Q2 to 2021Q3. The pooled mean group estimator, which allows for variation in short-run estimates and error...

This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the returns to currency carry strategies. We show that long-run differentials account for most of the profitability, while cyclical differentials play only a limited role. A simple...

Project Rio is a real-time market monitoring platform developed by the BIS Innovation Hub in collaboration with central banks to address the challenges of fast-paced electronic markets, particularly in foreign exchange (FX). It leverages modern, open-source technology to stream, process, and...

The US has undertaken both unconventional and conventional monetary policy stances in response to the COVID-19 pandemic and the Ukraine-Russia conflict, and there has been much debate on the effects of these various monetary policies on global financial markets. Our study considers the debate in...

Project Meridian FX is an experiment led by the BIS Innovation Hub's London and Eurosystem Centres together with the Bank of England, Bank of France, Deutsche Bundesbank, Bank of Italy and European Central Bank. It builds on the original Project Meridian by focusing on foreign exchange (FX)...

The retail cross-border payments market is valued at more than $800 billion of transactions per year, and is growing. Despite this, retail cross-border transactions lag domestic ones in terms of cost, speed, access and transparency because of the complex processes they involve. This complexity...

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing...

What can we learn from the high-frequency responses in bond and currency markets to the recent tariff announcement about the status of the U.S. dollar as the global reserve currency? The dollar depreciated by 6.5% after April 1 in spite of rising U.S. interest rates and market volatility, which...

This report provides an overview of the technical assistance provided by the International Monetary Fund (IMF) to the Banco de la República to support the authorities in reviewing the regulatory framework and formulating development strategies for the foreign exchange market

The economic literature has long attributed non-zero expected excess returns in currency markets to time-varying risk premiums demanded by risk-averse investors. This paper, building on Bacchetta and van Wincoop's (2021) portfolio balance framework, shows that such returns can also arise when...

Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously...

This paper investigates the dynamics of volatility spillovers in the South African foreign exchange market across calm and crisis periods, with particular attention paid to the pre- and post-COVID-19 eras. Employing daily exchange rate returns from 2015 to 2025, we apply a Quantile Vector...

This paper investigates the relationship between cryptocurrencies and other financial assets, with a particular focus on the dynamics of information flow between developed and emerging markets. To achieve this objective, the study applies a combined methodology of spillover index analysis and...

This study examines the co-movement and time-varying integration between equity, exchange rate, and international market volatility indices across different time-frequency domains using - bi-partial wavelet, - supplemented by dynamic conditional correlation-generalised autoregressive conditional...

We leverage supervisory microdata to uncover the role of global banks' risk limits in driving exchange rate dynamics. Consistent with a model of currency intermediation under risk constraints, shocks to dealers' risk limits lead to price and quantity adjustments in the foreign exchange market....