Demand Effects in the FX Forward Market: Micro Evidence from Banks’ Dollar Hedging
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DOI: 10.1093/rfs/hhaa123
Abstract: Using contract-level supervisory data, we show that dollar forward sales by non-U.S. banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes.… read more here.
Keywords: dollar; demand effects; market micro; effects forward ... See more keywords