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The failure of covered interest parity : FX hedging demand and costly balance sheets
Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016
Persistent link: https://www.econbiz.de/10011609852
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Credit migration and covered interest rate parity
Liao, Gordon Y. - 2019
Persistent link: https://www.econbiz.de/10012065100
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Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge : modeling with a bivariate GARCH model
Nan, Zheng; Kaizoji, Taisei - In: Quantitative finance and economics 3 (2019) 2, pp. 347-365
Persistent link: https://www.econbiz.de/10012176483
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Hedging of exchange rate risk and regression dependence
Broll, Udo; Kit, Pong Wong - 1997
essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …
Persistent link: https://www.econbiz.de/10009623408
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The hedging channel of exchange rate determination
Liao, Gordon; Zhang, Tony - 2020 - This draft: May 2020
Persistent link: https://www.econbiz.de/10012229170
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Limits to arbitrage and deviations from covered interest rate parity
Pinnington, James; Shamloo, Maral - 2016
We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank's (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several...
Persistent link: https://www.econbiz.de/10011422049
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One-way arbitrage-based interest parity
Chang, Rosita P.; Lee, Sang-hyop; Reid, Sean F.; Rhee, … - 2002
forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …
Persistent link: https://www.econbiz.de/10011327832
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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One-way arbitrage-based interest parity : an application of the Fletcher-Taylor approach in short-date markets
Chang, Rosita P.; Lee, Sang-Hyop; Reid, Sean F.; Rhee, … - 2002
Persistent link: https://www.econbiz.de/10001718695
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Segmented Money Markets and Covered Interest Parity Arbitrage
Rime, Dagfinn - 2017
This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest … across the full rate spectrum. A narrow set of global top-tier banks enjoys risk-less arbitrage opportunities as dealers set … quotes to avert order flow imbalances. We show how a situation with persistent arbitrage profits arises as an equilibrium …
Persistent link: https://www.econbiz.de/10012952174