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RePEcTrading, Microstructure & Execution

One dollar, many prices: dealer-specific pricing of synthetic dollar funding

Comparing FX forwards in identical currency pairs and maturities, the study finds large pricing variation across dealers reflecting clientele and pricing power rather than funding costs.

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Featured in No. 133 on 2 Oct 2026 · 4 days after release

Time series of dealer buy and sell FX forward pricing wedges, weighted by notional volume.
Figure 3. Notional-Weighted Monthly Dealer-Wedge Effects. Notes. The figure plots calendar-month fixed effects from separate role-specific weighted least-squares regressions of monthly dealer- role wedges on month indicators, as in equation (20). The unit of observation is a dealer parent by calend…
Released
28 Sep 2026
First featured
No. 133 · 2 Oct 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
2 of 5
Identifier
RePEc:boe:boeewp:023631
Authors
Marco Grotteria and Alex Kontoghiorghes

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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