A new version of our repo paper on “The Euro Interbank Repo Market” is available. Abstract: The search for a market design that ensures stable bank funding is at the top of regulators’ policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty […]
Due to popular demand, I uploaded the data for the market-wide FX liquidity index that we construct and use in our paper titled “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”. Feel free to use it for your academic work. You can download the data as xls and csv files from the […]
We finalized a first complete draft for a new paper titled “The Euro Interbank Repo Market”. The repo market is an important part of the shadow banking system. Using a novel and comprehensive dataset from an electronic trading platform, we provide the first systematic study of the euro interbank repo market. We document the evolution […]
FT Alphaville published an article titled “Carrying liquidity as far as you can” including a discussion of our paper on foreign exchange liquidity.