Price-Setting in the Foreign Exchange Swap Market: Evidence from Order Flow

O. Syrstad, Ganesh Viswanath-Natraj
{"title":"Price-Setting in the Foreign Exchange Swap Market: Evidence from Order Flow","authors":"O. Syrstad, Ganesh Viswanath-Natraj","doi":"10.2139/ssrn.3720062","DOIUrl":null,"url":null,"abstract":"This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the 2008 crisis. This is explained by increased dispersion in dollar funding costs and quarter-end periods. We find central bank swap lines reduced the order flow to obtain USD through FX swaps, subsequently affecting the forward rate. In contrast, during quarter-ends and monetary announcements we observe high frequency adjustment of the forward rate.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Warwick Business School Finance Group Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3720062","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4

Abstract

This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the 2008 crisis. This is explained by increased dispersion in dollar funding costs and quarter-end periods. We find central bank swap lines reduced the order flow to obtain USD through FX swaps, subsequently affecting the forward rate. In contrast, during quarter-ends and monetary announcements we observe high frequency adjustment of the forward rate.
外汇掉期市场的价格设定:来自订单流的证据
本文研究了外汇掉期的价格发现问题。利用交易商间交易的数据,我们发现,在2008年危机之后,订单流(即通过外汇掉期获得美元的净压力)每增加1个标准差,美元融资成本就会增加4个基点。这可以用美元融资成本和季度末的分散性增加来解释。我们发现央行掉期额度减少了通过外汇掉期获得美元的订单流,从而影响了远期汇率。相比之下,在季度末和货币政策公告期间,我们观察到远期汇率的高频调整。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信