KHAS Finance Webinars – Prof. Dr. Angelo Ranaldo


The guest of the Finance Webinars series organized by Kadir Has University International Trade and Finance Department is Prof. Dr. Angelo Ranaldo from St. Gallen University on Tuesday, May 17. You may follow Prof. Dr. Ranaldo’s speech titled “Liquidity in the Global Foreign Exchange Market” on Zoom at 17.00 (GMT+3).

The webinar will be in English.

Zoom Meeting ID: 822 9261 6587 

Zoom Link:

Abstract: We study the global market liquidity of foreign exchange rates by analysing the price impact of trading. We propose a simple theoretical framework that refines the popular Amihud (2002) illiquidity measure and term our new estimator realized Amihud. We highlight our measure’s consistency and higher accuracy, and these properties are validated numerically and empirically using CLS data representative of global FX trading. The price impact of FX trading increases with transaction costs, money market stress, uncertainty, and risk aversion. Furthermore, currencies with smaller price impact are less prone to deviations from triangular no-arbitrage parity. Our results are corroborated by an instrumental variables approach and a quasi-natural experiment using the shock of the Swiss franc’s uncapping in January 2015. 

Available at SSRN: 

About the speaker: Prof. Dr. Angelo Ranaldo is Full Professor of Finance and Systemic Risk at the University of St.Gallen and Member of the School of Finance. He is also an Adjunct Professor at the University of Zurich. The European Central Bank has awarded him the 2018 Duisenberg Fellowship and in 2019 the contract for the Regular Research Visitor Programme. He has served as a consultant and scientific advisor to international institutions such as the Bank of England, Bank of International Settlements, European Central Bank and European Money Market Institute. Systemic risk and financial stability, market microstructure, international finance, asset pricing and monetary policy are among the research fields of Prof. Ranaldo. His research papers in these fields are well-documented through many publications in top-journals, such as in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Finance, Journal of Financial & Quantitative Analysis. After completing his undergraduate and master studies at the University Bocconi, he obtained his doctoral degree from the University of Fribourg. He also was a visiting scholar at the New York University – Stern School of Business. 

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