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.
I have published a column titled “The foreign exchange market: Not as liquid as you may think” on VoxEU.org (together with Loriano Mancini and Angelo Ranaldo). The column presents the main results and policy implications of our recent paper on “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” in an accessible way.