UK, NZ and Aussie currencies most sensitive to liquidity flux
Sterling and the Australian and New Zealand dollars showed the greatest price sensitivity to varying liquidity conditions of all G-10 currencies post-Lehman Brothers' collapse, according to research by JP Morgan.
JP Morgan ranked the G-10 crosses of the US dollar, euro, yen and Swiss franc by their liquidity betas for the period before Lehman's collapse (between 1999 and August 2008) and after (September 2008 to January 2009). A liquidity beta measures how much a currency's rate is driven by
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