Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
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- 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.
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Keywordsforeign exchange market; measuring liquidity; commonality in liquidity; liquidity risk premium; subprime crisis;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-IFN-2010-04-17 (International Finance)
- NEP-MON-2010-04-17 (Monetary Economics)
- NEP-MST-2010-04-17 (Market Microstructure)
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