为什么货币市场正在遇到闪存崩溃

The stock and bond markets have received plenty of attention for flash crashes that have occurred over the past five years, but they aren’t alone.

Several flash crashes have hit the currency markets too, most notably in March, when the U.S. Dollar index dropped 3 percent in just under four minutes and then gained most of that back in three minutes. Whereas 3 percent may not represent a huge move for a stock, it is for a currency and even more so for a currency index.

“We see a couple periods like this a year, where suddenly there is no liquidity, and you get gigantic moves,” says David Gilmore, a partner at Foreign Exchange Analytics in Westbrook, Connecticut.

So why the forex flash crashes? It’s not an issue of volume. Daily turnover in the currency market has risen to a record $4.8 trillion, according to central bank data. The problem is liquidity. In the past, banks stepped in to help smooth the market in times of excess volatility. But the banking industry’s consolidation and stricter regulation have caused banks to shrink or cease their currency-trading operations. In addition, high frequency traders have come to play a major role in the forex market, just as they have in stocks and bonds, at times creating massive volatility.Hedge fundsand other money managers also have a growing presence and can represent a source of instability.

One difference between currency and equity markets is that whereas stock markets have grown more fractured over the past 20 years, the forex market has become more concentrated. In the old days, a substantial portion of currency trades took place over the phone between banks. Now the majority of trades occur over automated platforms, such as Reuters’s FXall and ICAP’s EBS. But the increased concentration hasn’t acted as a barrier to bouts of illiquidity, at least so far.

As for the banks, Gilmore says, “They aren’t willing to take risk, because they aren’t making money on currency trading.” TheDodd-Frank Wall Street Reform and Consumer Protection Actof 2010 requires banks to increase the amount of capital they hold to back risk-based activity, and the law’s Volcker Rule forbids most forms of proprietary trading at banks. “Compensation and motivation [for bank traders] have changed too,” says Scott Greene, CEO of Spectra FX Solutions, a currency options advisory and execution firm in New York and London. In addition, many institutions active in foreign exchange, such as Lehman Brothers, disappeared or were taken over during the financial crisis of 2008–’09.

Gilmore说，将它全部放在一起，“银行对维护他们完成的主要市场职能”，“Gilmore说。“这不是银行视为增长的企业。它更加必要为客户提供完整的功能。“

“在20世纪90年代的鼎盛时期，一位初级银行交易员可以在一夜之间持有100万美元至200万美元的职位，顶级交易员可能持有高达1亿美元的职位，隔夜持有高达1亿美元的职位，”纽约的SGH首席执行官Sassan Ghahramani的说明宏观顾问，建议金钱经理。“已经消失了。体积在历史新高，但这是“通过热马铃薯的情况。人们无法占有职位。”

Although banks have cut their activities in foreign exchange,high frequency traders和金钱经理，特别是对冲基金，超过了懈怠。特别是高频交易员可能会导致闪存崩溃，因为他们的盛宴或饥荒交易风格。“当突然没有流动性时，你会在货币市场中获得闪存崩溃，”Gilmore说。“它可能只是algo [节奏]交易模特被关掉了。”

Meanwhile, hedge funds and other money managers have become the players holding currency positions for sustained periods, Ghahramani notes. “A lot of them are on the same side [of trades], and if they need to get out, banks are no longer there as a cushion. That tends to exaggerate moves.”

为了确定，目前还不清楚这些流动性问题是否构成了重大担忧。“这不是一个系统性的威胁，”Gilmore说。“这只是流动性的转变，并且有可能的市场不平衡变得高度夸张。”并记住，货币市场与股票和债券不同，因为每当一种货币暴跌时，另一个货币都是飙升的。当然，股票和债券当然可以同时下降。

Still, analysts say, there is a risk of something big erupting. “The test comes when the market breaks down,” Greene says.

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