Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends and after monetary policy announcements we observe that dealers immediately adjust prices to curb order flow.

中文翻译：

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外汇掉期市场的定价：来自订单流的证据

使用来自交易商间市场的交易水平数据，我们发现外汇掉期订单流量的一个标准差变化对价格的影响已从 2008 年之前的不到 1 个基点增加到 2008 年之后的约 5 个基点。价格影响仅限于资金成本分散程度较高的时期和整个季度。中央银行掉期额度减少了汇入美元的订单，从而影响外汇远期汇率。相比之下，在季度末和货币政策公布之后，我们观察到经销商会立即调整价格以抑制订单流。