Understanding FX Liquidity
研究了二十多年间大量货币的即期外汇流动性，发现可用日常数据准确衡量，且流动性在融资约束和全球风险高时下降，发达和高风险货币更易蒸发，市场困境中流动性联动增强。
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 liquidity can be accurately measured with daily and readily available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses.