Liquidity spillover in foreign exchange markets

Research output: Contribution to journalArticlepeer-review

Abstract

We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers across nine major foreign exchange markets increase with global risk and funding constraint. We also find a substantial difference in the propagation pattern of liquidity between the funding currencies and investment currencies markets.

Original languageEnglish
Article number102105
JournalFinance Research Letters
Volume44
DOIs
StatePublished - Jan 2022

Keywords

  • European debt crisis
  • Global financial crisis
  • Liquidity spillovers
  • Market risk

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