Foreign exchange

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Replication Data: Transaction Costs and Asset Allocation in Foreign Exchange Markets

Replication Data: Transaction Costs and Asset Allocation in Foreign Exchange Markets

Lisa
Open Dataset
Creators: Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor
Publication Date: 2024-05-28
Creators: Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor

This dataset, hosted on Mendeley Data, contains the replication data for the study “Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets” (Filippou, Maurer, Pezzo & Taylor, 2024, Journal of Financial Economics). It includes currency-level data on bid-ask spreads, exchange rates, and portfolio returns, used to examine how transaction costs affect optimal asset allocation strategies in FX markets and the profitability of currency investment strategies.

Exchange-traded derivatives statistics

Exchange-traded derivatives statistics

carol.reyes.dulong
Open Dataset
Creators: BIS statistics
Publication Date: 2025-03-11
Creators: BIS statistics

The exchange-traded derivatives (XTD) statistics cover the turnover and open interest of foreign exchange and interest rate futures and options. The statistics are compiled from commercial data sources and cover contracts traded on over 50 organised exchanges.

OTC derivatives statistics

OTC derivatives statistics

carol.reyes.dulong
Open Dataset
Creators: BIS statistics
Publication Date: 2024-11-21
Creators: BIS statistics

The over-the-counter (OTC) derivatives statistics capture the outstanding positions of derivatives dealers, mainly banks. They cover the outstanding notional value, market value and credit exposure of OTC foreign exchange, interest rate, equity, commodity and credit derivatives, as well as Herfindahl concentration measures. Dealers report on a worldwide consolidated basis, including the positions of their foreign affiliates and excluding intragroup positions. The statistics are collected under the auspices of the Committee on the Global Financial System and reported to the BIS at a country, rather than individual dealer, level. The statistics comprise data reported every six months by dealers in 12 jurisdictions (Australia, Canada, France, Germany, Italy, Japan, the Netherlands, Spain, Sweden, Switzerland, the United Kingdom and the United States) plus data reported every three years by dealers in more than 30 additional jurisdictions. For periods between Triennial Surveys, the outstanding positions of dealers in these additional jurisdictions are estimated by the BIS.

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