Discussion Papers no. 391
Liquidity provision in the overnight foreign exchange market
We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ten years. Two main findings support this: (i) The net position of non-financial customers is negatively correlated with the exchange rate, opposed to the positive correlation found for financial customers; (ii) Changes in net position of non-financial customers are forecasted by changes in net position of financial customers, indicating that non-financial customers take a passive role consistent with liquidity provision.
Om publikasjonen
- Tittel
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Liquidity provision in the overnight foreign exchange market
- Ansvarlige
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Geir Høidal Bjønnes, Haakon O. Aa. Solheim, Dagfinn Rime
- Serie og -nummer
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Discussion Papers no. 391
- Utgiver
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Statistics Norway
- Emne
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Discussion Papers
- Antall sider
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36
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Kontakt
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