Liquidity in the Foreign Exchange Market

• Main Authors: Ya-Ting Chang, 張雅婷
• Other Authors: Chih-Chiang Hsu
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/36bvhr

博士 === 國立中央大學 === 經濟學系 === 106 === In this dissertation, I investigate the effect of liquidity risk on currency. The first essay study dynamics in liquidity commonality across currencies during the 2008-2009 global financial crisis and the 2009-2011 European sovereign debt crisis. This study found that during the crisis period or the uncertainty triggered by the news release, there exist stronger comovement between liquidity in individual currency pairs and the aggregate systematic liquidity among many currency pairs. This finding implies that that news releases have important functions in times of financial crisis. The second essay investigates how and why liquidity risks spread across currencies. In the framework of vector auto-regression, I discovered strong spillovers during market uncertainty period. Liquidity risk among markets increases obviously at this time highlighting the role of crash risk during the crises. In addition, I find that the strength of liquidity spillovers is related to the macroeconomic economy.