#2234. FX spot and swap market liquidity spillovers

August 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3510 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. We find strong co-movement in spot and swap market liquidity conditions and a robust link between FX funding and market liquidity, as gleaned from the pricing of both instruments. This link has strengthened over time.
Keywords:
Dealer activity; Foreign Exchange; Market and funding liquidity; Microstructure; Window dressing

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