English, Article, Journal or magazine article edition: Liquidity provision in the overnight foreign exchange market Dagfinn Rime and Haakon O.Aa. Solheim; Geir Høidal Bjønnes

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Liquidity provision in the overnight foreign exchange market
Author
  • Dagfinn Rime and Haakon O.Aa. Solheim
  • Geir Høidal Bjønnes
Physical Description
  • preprint
Notes
  • RePEc:ssb:dispap:391
  • 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.
  • Microstructure, International finance, Liquidity
  • RePEc:bno:worpap:2004_13
Language
  • English
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