IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789813148543_0008.html

Time-Varying Liquidity in Foreign Exchange

In: Studies in Foreign Exchange Economics

Author

Listed:
  • Martin D. D. Evans
  • Richard K. Lyons

Abstract

This paper addresses time-varying liquidity in the foreign exchange market and its relevance for policy. Liquidity is defined here by the price impact of trades: trades have more price impact when markets are less liquid, other things equal. (This usage is standard in theoretical work on trading; see, e.g., Kyle 1985.) Our particular interest is whether currency trades have more price impact when public information is flowing rapidly. This is important for policy:if the answer is yes, it provides a means of increasing the efficacy of intervention (e.g., by selectively timing intervention trades). Central bankers have long suggested that market expectations are at times “ripe” for coordinated adjustment, particularly when new public information arrives. Implicit in this view is the idea that agents draw different conclusions from common macro economic data, making transactions at these times especially valuable for measuring expectations…

Suggested Citation

  • Martin D. D. Evans & Richard K. Lyons, 2017. "Time-Varying Liquidity in Foreign Exchange," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 8, pages 325-361, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813148543_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789813148543_0008
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789813148543_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789813148543_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.