Foreign exchange fixings and returns around the clock

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Bibliographic Details
Authors and Corporations:	Krohn, Ingomar (Author), Mueller, Philippe (Author), Whelan, Paul (Author)
Other Authors:	Mueller, Philippe [Author] • Whelan, Paul [Author]
Edition:	Last updated: October 6, 2021
Type of Resource:	E-Book
Language:	English
published:	[Ottawa] Bank of Canada [2021]
Series:	Bank of Canada: Staff working paper ; 2021, 48
Subjects:	Financial markets Exchange Rates Market structure and pricing Graue Literatur
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen

Description
Summary:	We document that intraday currency returns display systematic reversals around the major benchmark fixings, characterized by an appreciation of the U.S. dollar pre-fix and a depreciation post-fix. We propose an explanation based on constrained intermediation by foreign exchange dealers. Exploiting data from a major inter-dealer platform, we present evidence of an unconditional demand for U.S. dollars at currency fixings. Dealers hedge this demand pre-fix, driving intraday reversals in both over-the-counter and exchange-traded markets. Furthermore, order imbalances in futures markets are not related to intraday reversal patterns, suggesting that the marginal investors in foreign exchange markets are intermediaries.
Physical Description:	1 Online-Ressource (circa 59 Seiten); Illustrationen