The U.S. dollar appreciates in the run-up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W-shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21-year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return reversals. We present evidence consistent with an inventory risk explanation whereby FX dealers intermediate unconditional demand for U.S. dollars at the fixes.

中文翻译：

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全天候外汇定盘价和回报

美元在外汇 (FX) 修复前升值，此后贬值，全天候呈现W形回报模式。21 年来，排名前 9 的交易货币的回报逆转十分普遍，且具有高度统计显着性，这意味着基于现货交易量的每日波动超过 10 亿美元。通过自然实验，我们记录了已发布的参考利率的存在决定了盘中回报反转的时间。我们提供的证据与库存风险解释一致，即外汇交易商以定盘价调节对美元的无条件需求。