Project Title: A Long-run Perspective on Foreign Exchange Market Liquidity
Project Period: July 2015 - June 2017
The foreign exchange market is the world’s most liquid market. This project will compile a long-run foreign exchange data set of daily bid and ask spot and forward rates quoted in London over 1919-75. London was the pre-eminent forex market of the first half of the 20th century. This new data set will link with existing data sets from 1976 to the present and enable us to examine the behaviour of forex market liquidity over the long-run and across different exchange rate regimes. In addition, we will consider how currencies behave when subjected to systematic forex liquidity shocks given the large number of currency crises over this extended time period.