Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'
59 Pages Posted: 20 Dec 2011 Last revised: 18 Jun 2012
Date Written: June 8, 2012
Abstract
This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model.
Keywords: foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
JEL Classification: F31, G01, G12, G15
Suggested Citation: Suggested Citation
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