Liquidity provision in the overnight foreign exchange market

Arbeitspapier

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ten years. Two main findings support this: (i) The net position of non-financial customers is negatively correlated with the exchange rate, opposed to the positive correlation found for financial customers; (ii) Changes in net position of non-financial customers are forecasted by changes in net position of financial customers, indicating that non-financial customers take a passive role consistent with liquidity provision.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 391

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Open Economy Macroeconomics ; International Financial Markets
• Subject: Microstructure ; International finance ; Liquidity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bjønnes, Geir Høidal ; Rime, Dagfinn ; Solheim, Haakon O. Aa.
• Event: Veröffentlichung
• (who): Statistics Norway, Research Department
• (where): Oslo
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/192373
• Last update: 10.03.2025, 11:41 AM CET