To fix or not to fix, the Fix: Reassessing the effectiveness of the 4 pm Fix. A pre-registered study

This study critically re-evaluates the effectiveness of the WM/Refinitiv (WMR) methodology for Foreign Exchange (FX) benchmark rates following its revision in 2015. Through the use of proprietary high-frequency trading data provided by Refinitiv, the research assesses the representativeness, attainability, and robustness of the WMR 4 pm fix. The study examines the benchmark's ability to accurately reflect market conditions and the implications of potential methodological enhancements, such as extending the calculation window. Findings indicate that while limited improvements in robustness can be achieved with longer windows, the current 5-min window remains broadly effective. However, the increased complexity and cost of changing the length of the window could outweigh the benefits. Additional results underscore the need for ongoing adaptation to evolving market dynamics and provide critical insights for financial institutions, regulators, and central banks in maintaining reliable and manipulation-resistant benchmarks.