Browsing Arbeidsnotater / Working Papers by Author "Viswanath-Natraj, Ganesh"
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Price-setting in the foreign exchange swap market: Evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh (Working Paper;16/2020, Working paper, 2020)This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) ...