Research

Working papers

“Liquidity Risk and Funding Cost” (with Alexander Bechtel and Angelo Ranaldo)
University of St.Gallen, School of Finance Research Paper No. 2019/03
(Download)

“Unsecured and Secured Funding” (with Mario Di Filippo and Angelo Ranaldo)
University of St.Gallen, School of Finance Research Paper No. 2016/16
(Download)

“Funding Illiquidity” (with Matthias Rupprecht)
University of St.Gallen, School of Finance Research Paper No. 2016/01
(Download)

“Ambiguity and Reality” (with Fabio Trojani and Christian Wiehenkamp)
Swiss Finance Institute Research Paper No. 11-33
(Download | Internet Appendix)

Publications

“The Euro Interbank Repo Market” (with Loriano Mancini and Angelo Ranaldo)
The Review of Financial Studies, Vol. 29, No. 7, Pages 1747–1779
(Download | Internet Appendix | BibTeX)

“Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” (with Loriano Mancini and Angelo Ranaldo)
Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
(Download | Internet Appendix | BibTeX | Fx liquidity index data | Related article on VoxEU.org)

“The Joint Dynamics of Hedge Fund Returns, Illiquidity, and Volatility”
The Journal of Alternative Investments, 2012, Vol. 15, No. 1, pp. 43-67
(Download | Internet Appendix | BibTeX)

Data

For academic research purposes only.

“Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”

Market-wide FX liquidity index data

The market-wide FX liquidity index is obtained from principle component analysis across different liquidity measures and various exchange rates. Namely, it is constructed using price impact, return reversal, bid-ask spread, effective cost, and price dispersion as liquidity measures and the AUD/USD, EUR/CHF, EUR/GBP, EUR/JPY, EUR/USD, GBP/USD, USD/CAD, USD/CHF, and USD/JPY exchange rates.Download data:

Excel
CSV (monthly data)
CSV (weekly data)

Plot of monthly data:

pcaCommonLiquidityPerMonth

Plot of weekly data:

pcaCommonLiquidityPerWeek