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The impact of global FX liquidity on the rand

Author

Listed:
  • Olds, Tim
  • Steenkamp, Daan
  • Van Jaarsveld, Rossouw

Abstract

The Covid crisis saw significant declines in market liquidity and calls for central banks to step in. Most research into foreign exchange (FX) liquidity does not consider a large cross-section of emerging market currency pairs or include the rand (ZAR) in its analysis, so this note sheds light on the intra-day behaviour of foreign currency rates and FX market liquidity for 20 of the most traded currency pairs.

Suggested Citation

  • Olds, Tim & Steenkamp, Daan & Van Jaarsveld, Rossouw, 2021. "The impact of global FX liquidity on the rand," MPRA Paper 116466, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:116466
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    References listed on IDEAS

    as
    1. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
    2. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    3. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Journal of Finance, American Finance Association, vol. 68(5), pages 1805-1841, October.
    4. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," ERSA Working Paper Series, Economic Research Southern Africa, vol. 0.
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    Cited by:

    1. Neilon, Gabriella & Guest, Oliver & Steenkamp, Daan, 2025. "The market impact of inflation surprises in South Africa," MPRA Paper 127318, University Library of Munich, Germany.
    2. Greenwood-Nimmo, Matthew & Steenkamp, Daan & Jaarsveld, Rossouw van, 2025. "Risk and return spillovers among developed and emerging market currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 98(C).

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    JEL classification:

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

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