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Policy Bulletin 05: The impact of global FX liquidity on the rand

Tim Olds, Daan Steenkamp and Rossouw van Jaarsveld

The Covid crisis saw significant declines in market liquidity and calls for central banks to step in. Most research into foreign exchange (FX) liquidity does not consider a large cross-section  of emerging market currency pairs or include the rand (ZAR) in its analysis, so this note sheds light on the intra-day behaviour of foreign currency rates and FX market liquidity for 20 of the most traded currency pairs.