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The impact of global FX liquidity on the rand

Author

Listed:
  • Olds, Tim
  • Steenkamp, Daan
  • Van Jaarsveld, Rossouw

Abstract

The Covid crisis saw significant declines in market liquidity and calls for central banks to step in. Most research into foreign exchange (FX) liquidity does not consider a large cross-section of emerging market currency pairs or include the rand (ZAR) in its analysis, so this note sheds light on the intra-day behaviour of foreign currency rates and FX market liquidity for 20 of the most traded currency pairs.

Suggested Citation

  • Olds, Tim & Steenkamp, Daan & Van Jaarsveld, Rossouw, 2021. "The impact of global FX liquidity on the rand," MPRA Paper 116466, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:116466
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    File URL: https://mpra.ub.uni-muenchen.de/116466/1/MPRA_paper_116466.pdf
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    References listed on IDEAS

    as
    1. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," ERSA Working Paper Series, Economic Research Southern Africa, vol. 0.
    2. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    3. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Journal of Finance, American Finance Association, vol. 68(5), pages 1805-1841, October.
    4. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Foreign Exchange; liquidity;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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