F31 - Foreign Exchange - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:55:09+00:00Foreign Exchange Fixings and Returns Around the Clock
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-48/
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.2021-10-06T09:37:49+00:00enForeign Exchange Fixings and Returns Around the Clock2021-10-06Exchange ratesFinancial marketsMarket structure and pricingStaff Working Paper 2021-48https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-48.pdfForeign Exchange Fixings and Returns Around the ClockIngomar KrohnPhilippe MuellerPaul WhelanOctober 2021FF3F31GG1G15