Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192373 
Year of Publication: 
2004
Series/Report no.: 
Discussion Papers No. 391
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ten years. Two main findings support this: (i) The net position of non-financial customers is negatively correlated with the exchange rate, opposed to the positive correlation found for financial customers; (ii) Changes in net position of non-financial customers are forecasted by changes in net position of financial customers, indicating that non-financial customers take a passive role consistent with liquidity provision.
Subjects: 
Microstructure
International finance
Liquidity
JEL: 
F31
F41
G15
Document Type: 
Working Paper

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