We provide the first systematic study of liquidity in the foreign exchange market. We find
significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong …

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over
more than two decades and a large cross-section of currencies. First, we show that FX …

The search for a market design that ensures stable bank funding is at the top of regulators'
policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro …

We analyze the effects of prudential regulation on short-term interest rates. The European
Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large …

We propose a new method to estimate the bid-ask spread when quote data are not available.
Compared to other low-frequency estimates, this method utilizes a wider information set, …

I examine the information content of a limit order book in a purely order-driven market. I analyze
how the state of the limit order book affects a trader's strategy. I develop an econometric …

We study high-frequency exchange rates over the period 1993–2008. Based on the recent
literature on volatility and liquidity risk premia, we use a factor model to capture linear and non…

We explain the currency carry trade (CT) performance using an asset pricing model in which
factor loadings are regime dependent rather than constant. Empirical results show that a …

Using unique data at transaction and identity levels, we provide the first systematic study of
interest rate swaps traded over the counter (OTC). We find substantial and persistent …

We compare the market quality of decentralized blockchain-based venues (DEXs) to centralized
crypto exchanges (CEXs). Our analysis of transaction costs and deviations from the no-…