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LiquidityShocks The FX market becomes illiquid in tandem with the

LiquidityShocks The FX market becomes illiquid in tandem with the

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FX market illiquidity for selected currencies

Market-making and market liquidity have become more concentrated

This, then, would seem to be the final piece of the puzzle as to what is making markets prone to pockets of illiquidity. Central bank distortions have ...

Even worse is that as electronic trading is increasingly penetrating this final frontier for Virtu (which recently fully took over FX trading leading ...

Fig. 1

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The figure plots the correlations between levels of volume and levels of liquidity as a function of time horizon over 100,000 simulated paths.

The figure plots joint distribution of volume and liquidity changes using the simulations of Section 3. The paths set μ 1 = 10 and N 0 = 1,000, ...

Liquidity measures. The figure shows the liquidity measures for the market over time. The market series is computed as the cross-sectional equally-weighted ...

Corporate bond market liquidity: back to (not so) normal?

Reserve accumulation by the RBI has tended to move in tandem with net capital inflows into the Indian economy. The chart below shows that the two move in ...

Could it be that central bank liquidity has forced investors to be the same way round more so than previously, and that this is making markets prone to ...

In fact ...

This phenomenon starves financial markets from needed liquidity and is detrimental to future growth by exposing the economy to potentially unnecessary ...

In forex markets, complacency towards risk has manifested itself in the form of decreasing volatility. When you look at the 435 most commonly-traded ...

According to the Wall Street Journal ...

March 7, 2013: levels and log-returns of the EUR. The left panel depicts the levels of the euro currency pair for March 7, 2013.

... FX market illiquidity and the continued reliance on imported capital goods. Finally, fiscal support should come in the form of proposed Special Economic ...

Alas ...

Log annualized turnover is plotted for U.S. government bond and stock markets. The bond market series is the ratio of weekly nonbroker trades by primary ...

Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis - ScienceDirect

Fig. 3

Low day-to-day volatility, punctuated by occasional sharp corrections, are exactly what we might anticipate if markets were becoming less liquid.

More.

It shows the four measures of illiquidity used in the empirical tests. The top two panels show the average across on-the-run Treasury securities of the log ...

Bank liquidity creation. This figure plots bank liquidity creation data (in US$) for the U.S. banks. The variables are CATFAT: bank aggregate liquidity ...

Fig. 2

Daily Turnover in Forex Markets

Time series of hedge funds' equity holdings (% of total market capitalization)

On page 17 of a 2008 BIS presentation the Bank of International Settlements advertise Forex & Gold Services Interventions as part of a suite of products to ...

Changes in bank business models may also affect their willingness and ability to make markets.

Fig. 1

Euro-Dollar Forex Swap

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Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? - ScienceDirect

Maurice Teo, CFA

Global Liquidity Is Drying Up 12-15-14 Macro Watch - Richard Duncan

Risk-neutral default ([Math Processing Error] λ ℚ ) and (relative) illiquidity ([Math Processing Error] γ ℚ ) discount processes of sovereign CDS spreads.

20.

In contrast, countries with floating regimes are; 22.

According to the Wall Street Journal, this is changing the way in which currencies are traded. Previously, for big blocks of currency, traders would have to ...

... FDC Think Tank; 20. Stock Market Update In the ...

Page 1

Fair warning: the more often derivatives are used as a way of avoiding the underlying cash markets, the more illiquid those cash markets become, ...

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The Program on Corporate Finance

4 dimensions of last century research on bond market (s ource

Optimal allocation solves: 10.

Figure 3. Markov-Switching ARCH Model of TED Spread

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duration threshold which had previously been greenlighted by the TBAC, ended up being far too high and as a result events such as the October 15 flash smash ...

Chart 4 - Global liquidity remains robust.JPG

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The currency wars may have subsided, but they haven't ended. On both a paired and trade-weighted basis, the Dollar is declining rapidly.

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Outlook & Commentary Liquidity Shock: The Hidden Risk in Modern Markets

A stereo unit with bass, treble and volume knobs.

S&P Dow Jones Indices Akash Jain

For each stock we estimate the quoted spread for each 15 minute period within the trading day.

... 16. Macroeconomics Indicators Money Market The opening liquidity ...

017-Trading_For_A_Living_In_The_Forex_Market | Foreign Exchange Market | Exchange Rate

Currency Market Liquidity ...

Line Number: 106

Line Number: 106

The regime-switching impact of illiquidity on UK economic growth, 1989q2–2012q1. Notes: This Figure shows the impact of stock market illiquidity (LHS axis) ...

Poor outlook for EM hard currency debt

Fig. 2

Asset market liquidity

As I wrote in an ...

Add in the higher level of investments and productivity enhancements, and we have a favorable backdrop for attractive secular returns from emerging markets.

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Effects of liquidity and volatility risk factors on skewness

... bankers have become perplexed – without a backup plan. Such an uncertain backdrop is pro-currency market instability and pro-de-risking/deleveraging.

... 9.

Global Forex Reserves 1999-2009

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In light of the above, it becomes clear that any financing gap calculation is highly sensitive to behavioral assumptions, in particular the willingness to ...

Arbitraging these anomalies requires considerable balance sheet and in the presence of a potentially binding leverage ratio, it has been argued, ...

Default and illiquidity processes.

With the tailwind from ever-lower policy rates and term premia compression behind us, rather than see cause for alarm, investors should consider this a time ...

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Capital Market Return Assumptions for Strategic Asset Allocation

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Time-varying illiquidity risks.

Alternative liquidity measures. The figure contains the effect of market liquidity on firm-specific liquidity using 1-year rolling windows (i.e., ...

Matrix of an Economy's Intersectoral Asset and Liability Positions

Fig. 4

chart 2 EU best value.JPG

Calaméo - Finance Investments 5th Ed - Z Bodie, A Kane & A J Marcus (McGraw-Hill) - 2001

10.

Given the relative liquidity of foreign bond and equity markets in Brazil, mutual and hedge funds were able to unwind these positions to cover their ...

Step 2: For whatever reason (perhaps due to a panic caused by some news) people start to withdraw their money from the bank. Customers can request cash ...