Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209838 
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 2004/13
Publisher: 
Norges Bank, 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
Persistent Identifier of the first edition: 
ISBN: 
82-7553-263-9
Additional Information: 
Also published in Journal of International Money and Finance, 2005, issue 2 (March 2005), pp. 177-198.
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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