Details about Angelo Ranaldo

Access statistics for papers by Angelo Ranaldo.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pra161

Working Papers

2025

1. Swiss treasury bond auctions: An update
   Economic Studies, Swiss National Bank
2. The demand for safe assets
   Working Papers, Swiss National Bank
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2024)

2024

3. Blockchain Currency Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
4. Constrained Liquidity Provision in Currency Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2023)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) View citations (1)
   See also Journal Article Constrained liquidity provision in currency markets, Journal of Financial Economics, Elsevier (2025) (2025)
5. Hunting for Dollars
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
6. Nonstandard Errors
   Post-Print, HAL View citations (2)
   Also in Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)
7. On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
   Papers, arXiv.org View citations (4)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022)
8. Pension Liquidity Risk
   Working Papers, DNB
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2024)

2023

9. Foreign Exchange Swap Liquidity
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
10. HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
11. Money Market Disconnect
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article Money Market Disconnect, The Review of Financial Studies, Society for Financial Studies (2023) View citations (1) (2023)
12. NFT Bubbles
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    Also in Papers, arXiv.org (2023)

2022

13. Collateral Cycles
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    Also in Bank of England working papers, Bank of England (2022)
14. Constrained Dealers and Market Efficiency
    VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association View citations (1)
15. Foreign Exchange Swaps and Cross-Currency Swaps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
    See also Chapter Foreign exchange swaps and cross-currency swaps, Chapters, Edward Elgar Publishing (2023) (2023)
16. Non-Fungible Tokens
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Chapter Non-Fungible Tokens, Palgrave Studies in Financial Services Technology, Palgrave Macmillan (2023) (2023)
17. Realized Illiquidity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2020

18. Asymmetric Information Risk in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
    See also Journal Article Asymmetric information risk in FX markets, Journal of Financial Economics, Elsevier (2021) View citations (26) (2021)
19. Liquidity Risk and Funding Cost
    Working Papers on Finance, University of St. Gallen, School of Finance
    See also Journal Article Liquidity Risk and Funding Cost, Review of Finance, European Finance Association (2023) View citations (4) (2023)
20. Monetary policy disconnect
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)

2019

21. Funding Illiquidity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (9)
22. Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (9)
    Bank of England working papers, Bank of England (2018) View citations (10)
    See also Journal Article Judgment day: Algorithmic trading around the Swiss franc cap removal, Journal of International Economics, Elsevier (2023) (2023)
23. OTC Premia
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
    Also in Bank of England working papers, Bank of England (2018)
    See also Journal Article OTC premia, Journal of Financial Economics, Elsevier (2020) (2020)
24. Regulatory effects on short-term interest rates
    Bank of England working papers, Bank of England View citations (7)
    See also Journal Article Regulatory effects on short-term interest rates, Journal of Financial Economics, Elsevier (2021) View citations (13) (2021)
25. Safe Asset Carry Trade
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
    See also Journal Article Safe Asset Carry Trade, The Review of Asset Pricing Studies, Society for Financial Studies (2023) View citations (1) (2023)
26. The Forward Premium in Short-Term Rates
    Working Papers on Finance, University of St. Gallen, School of Finance
27. Trading Volume, Illiquidity and Commonalities in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)

2018

28. Unsecured and Secured Funding
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2016) View citations (6)
    See also Journal Article Unsecured and Secured Funding, Journal of Money, Credit and Banking, Blackwell Publishing (2022) View citations (1) (2022)

2017

29. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century
    Working Papers on Finance, University of St. Gallen, School of Finance

2016

30. Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (3)
    Also in Economic Studies, Swiss National Bank (2016) View citations (3)

2015

31. The Euro Interbank Repo Market
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (51)
    See also Journal Article The Euro Interbank Repo Market, The Review of Financial Studies, Society for Financial Studies (2016) View citations (77) (2016)
32. Understanding FX Liquidity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (100)
    See also Journal Article Understanding FX Liquidity, The Review of Financial Studies, Society for Financial Studies (2015) View citations (89) (2015)

2014

33. Precious Metals Under the Microscope: A High-Frequency Analysis
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
    See also Journal Article Precious metals under the microscope: a high-frequency analysis, Quantitative Finance, Taylor & Francis Journals (2015) View citations (15) (2015)

2013

34. Monetary Policy Effects on Long-term Rates and Stock Prices
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
35. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance

2012

36. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
    Also in Working Papers, Swiss National Bank (2009) View citations (25)
37. Intraday Patterns in FX Returns and Order Flow
    Working Papers, Queen Mary University of London, School of Economics and Finance
    Also in Working Papers, Swiss National Bank (2011) View citations (3)
    See also Journal Article Intraday Patterns in FX Returns and Order Flow, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (31) (2013)
38. Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (16)
    Also in Working Papers, Swiss National Bank (2010) View citations (46)
39. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2011) View citations (2)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (2)
    See also Journal Article On the predictability of stock prices: A case for high and low prices, Journal of Banking & Finance, Elsevier (2013) View citations (25) (2013)
40. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2012)
    See also Journal Article Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) View citations (4) (2013)

2010

41. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Working Papers, Swiss National Bank View citations (39)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009)
    See also Journal Article Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Journal of Finance, American Finance Association (2013) View citations (177) (2013)
42. The Time-Varying Systematic Risk of Carry Trade Strategies
    Working Papers, Swiss National Bank View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (8)
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (5)
    See also Journal Article The Time-Varying Systematic Risk of Carry Trade Strategies, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (115) (2011)

2009

43. Safe Haven Currencies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) View citations (12)
    Working Papers, Swiss National Bank (2007) View citations (17)
    See also Journal Article Safe Haven Currencies, Review of Finance, European Finance Association (2010) View citations (249) (2010)
44. The Implementation of SNB Monetary Policy
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen View citations (10)
    See also Journal Article The implementation of SNB monetary policy, Financial Markets and Portfolio Management, Springer (2009) View citations (10) (2009)

2008

45. Does FOMC News Increase Global FX Trading?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, Swiss National Bank (2008) View citations (1)
    See also Journal Article Does FOMC news increase global FX trading?, Journal of Banking & Finance, Elsevier (2011) View citations (15) (2011)
46. Extreme Coexceedances in New EU Member States' Stock Markets
    Working Papers, Swiss National Bank View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (6)
    See also Journal Article Extreme coexceedances in new EU member states' stock markets, Journal of Banking & Finance, Elsevier (2009) View citations (48) (2009)

2007

47. Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
    Working Papers, Swiss National Bank View citations (2)
    See also Journal Article Segmentation and time-of-day patterns in foreign exchange markets, Journal of Banking & Finance, Elsevier (2009) View citations (20) (2009)
48. The reaction of asset markets to Swiss National Bank communication
    Working Papers, Swiss National Bank View citations (3)
    See also Journal Article The reaction of asset markets to Swiss National Bank communication, Journal of International Money and Finance, Elsevier (2010) View citations (71) (2010)

2006

49. Intraday Market Dynamics Around Public Information Arrivals
    Working Papers, Swiss National Bank View citations (5)
50. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    Working Papers, Swiss National Bank View citations (9)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (6)
    See also Journal Article Realized bond—stock correlation: Macroeconomic announcement effects, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) View citations (22) (2007)

2002

51. Market Dynamics Around Public Information Arrivals
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (3)

Journal Articles

2025

1. Constrained liquidity provision in currency markets
   Journal of Financial Economics, 2025, 167, (C)
   See also Working Paper Constrained Liquidity Provision in Currency Markets, CEPR Discussion Papers (2024) (2024)

2024

2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)

2023

3. Bank positions in FX swaps: insights from CLS
   BIS Quarterly Review, 2023 View citations (3)
4. Judgment day: Algorithmic trading around the Swiss franc cap removal
   Journal of International Economics, 2023, 140, (C)
   See also Working Paper Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal, Working Papers on Finance (2019) View citations (2) (2019)
5. Liquidity Risk and Funding Cost
   Review of Finance, 2023, 27, (2), 399-422 View citations (4)
   See also Working Paper Liquidity Risk and Funding Cost, Working Papers on Finance (2020) (2020)
6. Money Market Disconnect
   The Review of Financial Studies, 2023, 36, (10), 4158-4189 View citations (1)
   See also Working Paper Money Market Disconnect, Swiss Finance Institute Research Paper Series (2023) View citations (4) (2023)
7. Safe Asset Carry Trade
   The Review of Asset Pricing Studies, 2023, 13, (2), 223-265 View citations (1)
   See also Working Paper Safe Asset Carry Trade, Working Papers on Finance (2019) View citations (1) (2019)

2022

8. Liquidity in the global currency market
   Journal of Financial Economics, 2022, 146, (3), 859-883 View citations (3)
9. Unsecured and Secured Funding
   Journal of Money, Credit and Banking, 2022, 54, (2-3), 651-662 View citations (1)
   See also Working Paper Unsecured and Secured Funding, Tinbergen Institute Discussion Papers (2018) View citations (5) (2018)

2021

10. Asymmetric information risk in FX markets
    Journal of Financial Economics, 2021, 140, (2), 391-411 View citations (26)
    See also Working Paper Asymmetric Information Risk in FX Markets, Working Papers on Finance (2020) View citations (2) (2020)
11. Regulatory effects on short-term interest rates
    Journal of Financial Economics, 2021, 141, (2), 750-770 View citations (13)
    See also Working Paper Regulatory effects on short-term interest rates, Bank of England working papers (2019) View citations (7) (2019)

2020

12. OTC premia
    Journal of Financial Economics, 2020, 136, (1), 86-105
    See also Working Paper OTC Premia, Working Papers on Finance (2019) View citations (1) (2019)

2019

13. Euro repo market functioning: collateral is king
    BIS Quarterly Review, 2019 View citations (17)

2017

14. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    The Review of Financial Studies, 2017, 30, (12), 4437-4480 View citations (126)

2016

15. The Euro Interbank Repo Market
    The Review of Financial Studies, 2016, 29, (7), 1747-1779 View citations (77)
    See also Working Paper The Euro Interbank Repo Market, Working Papers on Finance (2015) View citations (51) (2015)

2015

16. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 View citations (15)
    See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) View citations (1) (2014)
17. Understanding FX Liquidity
    The Review of Financial Studies, 2015, 28, (11), 3073-3108 View citations (89)
    See also Working Paper Understanding FX Liquidity, Working Papers on Finance (2015) View citations (100) (2015)

2013

18. Intraday Patterns in FX Returns and Order Flow
    Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 View citations (31)
    Also in Journal of Money, Credit and Banking, 2013, 45, (5), 953-965 (2013) View citations (16)
    See also Working Paper Intraday Patterns in FX Returns and Order Flow, Working Papers (2012) (2012)
19. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    Journal of Finance, 2013, 68, (5), 1805-1841 View citations (177)
    See also Working Paper Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Working Papers (2010) View citations (39) (2010)
20. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (25)
    See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) (2012)
21. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
    See also Working Paper Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) (2012)

2012

22. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 View citations (5)

2011

23. Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland
    Financial Markets and Portfolio Management, 2011, 25, (4), 435-453 View citations (2)
24. Does FOMC news increase global FX trading?
    Journal of Banking & Finance, 2011, 35, (11), 2965-2973 View citations (15)
    See also Working Paper Does FOMC News Increase Global FX Trading?, CEPR Discussion Papers (2008) View citations (1) (2008)
25. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (115)
    See also Working Paper The Time-Varying Systematic Risk of Carry Trade Strategies, Working Papers (2010) View citations (5) (2010)

2010

26. Safe Haven Currencies
    Review of Finance, 2010, 14, (3), 385-407 View citations (249)
    See also Working Paper Safe Haven Currencies, CEPR Discussion Papers (2009) View citations (7) (2009)
27. The reaction of asset markets to Swiss National Bank communication
    Journal of International Money and Finance, 2010, 29, (3), 486-503 View citations (71)
    See also Working Paper The reaction of asset markets to Swiss National Bank communication, Working Papers (2007) View citations (3) (2007)

2009

28. Editorial
    Financial Markets and Portfolio Management, 2009, 23, (4), 333-334
29. Extreme coexceedances in new EU member states' stock markets
    Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (48)
    See also Working Paper Extreme Coexceedances in New EU Member States' Stock Markets, Working Papers (2008) View citations (2) (2008)
30. Segmentation and time-of-day patterns in foreign exchange markets
    Journal of Banking & Finance, 2009, 33, (12), 2199-2206 View citations (20)
    See also Working Paper Segmentation and Time-of-Day Patterns in Foreign Exchange Markets, Working Papers (2007) View citations (2) (2007)
31. The implementation of SNB monetary policy
    Financial Markets and Portfolio Management, 2009, 23, (4), 349-359 View citations (10)
    See also Working Paper The Implementation of SNB Monetary Policy, University of St. Gallen Department of Economics working paper series 2009 (2009) View citations (10) (2009)

2008

32. Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance
    European Financial Management, 2008, 14, (1), 55-81 View citations (7)

2007

33. Realized bond—stock correlation: Macroeconomic announcement effects
    Journal of Futures Markets, 2007, 27, (5), 439-469 View citations (22)
    See also Working Paper Realized Bond-Stock Correlation: Macroeconomic Announcement Effects, Working Papers (2006) View citations (9) (2006)

2004

34. Order aggressiveness in limit order book markets
    Journal of Financial Markets, 2004, 7, (1), 53-74 View citations (192)

Chapters

2023

1. Foreign exchange swaps and cross-currency swaps
   Chapter 20 in Research Handbook of Financial Markets, 2023, pp 451-469
   See also Working Paper Foreign Exchange Swaps and Cross-Currency Swaps, Swiss Finance Institute (2022) View citations (2) (2022)
2. Non-Fungible Tokens
   Palgrave Macmillan
   See also Working Paper Non-Fungible Tokens, Swiss Finance Institute (2022) (2022)