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Atribución-NoComercial-SinDerivadas 3.0 España
Abstract:
We study the role played by geographic and bank-size heterogeneity in the relation
between exchange rate variability and market activity. We find some support for the
hypothesis that increases in short-term global interbank market activity, which can be
intWe study the role played by geographic and bank-size heterogeneity in the relation
between exchange rate variability and market activity. We find some support for the
hypothesis that increases in short-term global interbank market activity, which can be
interpreted as due to variation in information arrival, increase variability. However, our
results do not suggest that local short-term activity increases variability. With respect to
long-term market activity, which can be interpreted as a measure of liquidity, we find
that large and small banks have opposite effects. Specifically, our results suggest that
the local group of large banks' liquidity increases variability, whereas the local group of
small banks' liquidity reduces variability.[+][-]