{"title":"美元在外汇交易中的主导地位","authors":"Fabricius Somogyi","doi":"10.2139/ssrn.3882546","DOIUrl":null,"url":null,"abstract":"Over 85% of all foreign exchange (FX) transactions involve the US dollar, whereas the United States accounts for a much smaller fraction of global economic activity. My paper attributes the dominance of the US dollar in FX trading to strategic avoidance of price impact. Utilising a model of FX trading, I derive three conditions for dollar dominance. I then empirically test these conditions using a globally representative FX trade data set and provide evidence that is consistent with my model. I find that US dollar currency pairs enjoy a low-price-impact advantage, which favours their use as a vehicle currency to indirectly exchange two non-dollar currencies. Using a novel identification strategy, I show that up to 36-40% of the daily volume in dollar currency pairs are due to vehicle currency trading.","PeriodicalId":445453,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Dollar Dominance in FX Trading\",\"authors\":\"Fabricius Somogyi\",\"doi\":\"10.2139/ssrn.3882546\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Over 85% of all foreign exchange (FX) transactions involve the US dollar, whereas the United States accounts for a much smaller fraction of global economic activity. My paper attributes the dominance of the US dollar in FX trading to strategic avoidance of price impact. Utilising a model of FX trading, I derive three conditions for dollar dominance. I then empirically test these conditions using a globally representative FX trade data set and provide evidence that is consistent with my model. I find that US dollar currency pairs enjoy a low-price-impact advantage, which favours their use as a vehicle currency to indirectly exchange two non-dollar currencies. Using a novel identification strategy, I show that up to 36-40% of the daily volume in dollar currency pairs are due to vehicle currency trading.\",\"PeriodicalId\":445453,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)\",\"volume\":\"30 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-07-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3882546\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: International Financial Markets - Foreign Exchange (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3882546","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Over 85% of all foreign exchange (FX) transactions involve the US dollar, whereas the United States accounts for a much smaller fraction of global economic activity. My paper attributes the dominance of the US dollar in FX trading to strategic avoidance of price impact. Utilising a model of FX trading, I derive three conditions for dollar dominance. I then empirically test these conditions using a globally representative FX trade data set and provide evidence that is consistent with my model. I find that US dollar currency pairs enjoy a low-price-impact advantage, which favours their use as a vehicle currency to indirectly exchange two non-dollar currencies. Using a novel identification strategy, I show that up to 36-40% of the daily volume in dollar currency pairs are due to vehicle currency trading.
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