Article ID Journal Published Year Pages File Type
5069315 Finance Research Letters 2017 6 Pages PDF
Abstract

This paper quantitatively evaluates the cost and risk of banks trading at the Forex London fixing, and examines the impact of the reform of February 2015. Based on the model calibration, we find that (1) the widening of the fixing time window, a main reform agenda, did not reduce the cost for banks but increased the risk of using pre-hedge; (2) the path of the actual trading volume pattern after the reform is consistent with theoretical predictions in a case of not being able to influence the fixing price.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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