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Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

59 Pages Posted: 20 Dec 2011 Last revised: 18 Jun 2012

See all articles by Loriano Mancini

Loriano Mancini

Università della Svizzera italiana (USI Lugano); Swiss Finance Institute

Angelo Ranaldo

University of Basel - Faculty of Business and Economics; Swiss Finance Institute; University of St. Gallen

Jan Wrampelmeyer

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: June 8, 2012

Abstract

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model.

Keywords: foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

JEL Classification: F31, G01, G12, G15

Suggested Citation

Mancini, Loriano and Ranaldo, Angelo and Wrampelmeyer, Jan, Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums' (June 8, 2012). Available at SSRN: https://ssrn.com/abstract=1974419 or http://dx.doi.org/10.2139/ssrn.1974419

Loriano Mancini (Contact Author)

Università della Svizzera italiana (USI Lugano) ( email )

Via Giuseppe Buffi 6
6904 Lugano, CH-6904
Switzerland
+41 (0)91 912 46 47 (Fax)

HOME PAGE: http://www.people.usi.ch/mancil/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Angelo Ranaldo

University of Basel - Faculty of Business and Economics ( email )

Petersplatz 1
Basel, 4001
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://www.sfi.ch/de/about-us/news/hsg-faculty-members

University of St. Gallen ( email )

School of Finance
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://fin-sr.unisg.ch

Jan Wrampelmeyer

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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