Baba, Naohiko; Packer, Frank - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...