2022/07/26 by Olav Syrstad, Ganesh Viswanath-Natraj
Business, Management and Accounting · Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Corporate Finance and Governance #Financial Markets and Investment Strategies
paper · doi:10.1016/j.jfineco.2022.07.004
openalex publication_date 2022/07/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/03/27
Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends and after monetary policy announcements we observe that dealers immediately adjust prices to curb order flow.