dc.contributor.author | Syrstad, Olav | |
dc.contributor.author | Viswanath-Natraj, Ganesh | |
dc.date.accessioned | 2020-11-30T13:06:21Z | |
dc.date.available | 2020-11-30T13:06:21Z | |
dc.date.issued | 2020 | |
dc.identifier.isbn | 978-82-8379-170-9 | |
dc.identifier.issn | 1502-8190 | |
dc.identifier.uri | https://hdl.handle.net/11250/2690236 | |
dc.description.abstract | 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) increases the cost of dollar funding by up to 4 basis points after the 2008 crisis. This is explained by increased dispersion in dollar funding costs and quarter-end periods. We find central bank swap lines reduced the order flow to obtain USD through FX swaps, subsequently affecting the forward rate. In contrast, during quarter-ends and monetary announcements we observe high frequency adjustment of the forward rate. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Norges Bank | en_US |
dc.relation.ispartofseries | Working Paper;16/2020 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | interest rate parity | en_US |
dc.subject | exchange rates | en_US |
dc.subject | currency swaps | en_US |
dc.subject | order flow | en_US |
dc.subject | dollar funding | en_US |
dc.subject | JEL: E43 | en_US |
dc.subject | JEL: F31 | en_US |
dc.subject | JEL: G15 | en_US |
dc.title | Price-setting in the foreign exchange swap market: Evidence from order flow | en_US |
dc.type | Working paper | en_US |
dc.description.version | publishedVersion | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | en_US |
dc.source.pagenumber | 55 | en_US |