I just spotted this on a BoE study of the Swiss National Bank's EUR/CHF surrender: "Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging"
From the intro:
- the decision of the Swiss National Bank to discontinue the Swiss franc's floor of 1.20 Swiss francs per euro on the morning of 15 January 2015. This was expected to show a number of effects in the Swiss franc foreign exchange over-the-counter (FX OTC) derivatives market.
- The removal of the floor led to extreme price moves in the forwards market, similar to those observed in the spot market, while trading in the Swiss franc options market was practically halted.
- We find evidence that the rapid intraday price fluctuation was associated with poor underlying market liquidity conditions, in particular the limited provision of liquidity by dealer banks in the first hour after the event.
- Looking at longer-term effects, we observe a reduced level of liquidity, associated with an increased level of market fragmentation, higher market volatility and an increase in the degree of collateralisation in the weeks following the event.
Like I said, I've only just spotted it, so on this:
- We find evidence that the rapid intraday price fluctuation was associated with poor underlying market liquidity conditions, in particular the limited provision of liquidity by dealer banks in the first hour after the event.
Well, I've not yet chucked it into the "No shit, Sherlock" file ... ;-)
Enjoy! Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging
