October 23, 2024 (NO COMMENTS)

FX fixing outcomes are mostly driven by length of calculation window

Foreign exchange fixings are widely used benchmark rates. However, the ways in which they are calculated differ between providers and have changed over time. Johannes Muhle-Karbe and Roel Oomen show that the primary driver of dealer and client outcomes is the fixing window width and that the weighting scheme applied to prices over the calculation window is only of secondary importance Foreign exchange fixings are measurements of the currency exchange rate prevailing