| dc.contributor.author | Bjønnes, Geir Høidal | |
| dc.contributor.author | Rime, Dagfinn | |
| dc.contributor.author | Solheim, Haakon O. Aa | |
| dc.date.accessioned | 2011-11-23T13:03:25Z | |
| dc.date.available | 2011-11-23T13:03:25Z | |
| dc.date.issued | 2004 | |
| dc.identifier.issn | 1892-753x | |
| dc.identifier.uri | http://hdl.handle.net/11250/180479 | |
| dc.description.abstract | Abstract:
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 nonfinancial
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.
Keywords: Microstructure, International finance, Liquidity | no_NO |
| dc.language.iso | eng | no_NO |
| dc.publisher | Statistics Norway, Research Department | no_NO |
| dc.relation.ispartofseries | Discussion Papers;No. 391 | |
| dc.subject | International finance | no_NO |
| dc.subject | Liquidity | no_NO |
| dc.subject | Foreign exchange market | no_NO |
| dc.subject | Exchange market | no_NO |
| dc.subject | JEL classification: F31 | no_NO |
| dc.subject | JEL classification: F41 | no_NO |
| dc.subject | JEL classification: G15 | no_NO |
| dc.title | Liquidity provision in the overnight foreign exchange market | no_NO |
| dc.type | Working paper | no_NO |
| dc.subject.nsi | VDP::Social science: 200::Economics: 210::Economics: 212 | no_NO |
| dc.source.pagenumber | 38 s. | no_NO |
