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Covered interest parity deviations : macrofinancial determinants

Cerutti, Eugenio M.; Obstfeld, Maurice; Zhou, Haonan - In: Journal of international economics 130 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012887994

Exchange Rate Determination under Limits to CIP Arbitrage

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2024

Recent theories of exchange rate determination have emphasized limited UIP arbitrage by international financial … institutions. New regulations since 2008 have also lead to imperfect CIP arbitrage. We show that under limited CIP arbitrage the … operate through the swap market, which have no effect under perfect CIP arbitrage. More familiar financial shocks that impact …

Persistent link: https://www.econbiz.de/10015056203

Covered interest parity arbitrage

Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - 2019

Persistent link: https://www.econbiz.de/10012130967

The High Frequency Effects of Dollar Swap Lines

Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2023

We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity (CIP), and depreciation of the dollar. Equity...

Persistent link: https://www.econbiz.de/10014437032

Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2023

phenomena, we develop a two-country model featuring (i) market segmentation, (ii) limited CIP arbitrage (since 2007), (iii …

Persistent link: https://www.econbiz.de/10014447258

Limits to arbitrage and the term structure of CIP violations

Wohlfarth, Paul; Chen, Xiaohong - In: Journal of international financial markets, … 95 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015063604

Long-run UIP holds even in the short run

Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2013

The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the...

Persistent link: https://www.econbiz.de/10009751157

Credit migration and covered interest rate parity

Liao, Gordon Y. - In: Journal of financial economics 138 (2020) 2, pp. 504-525

Persistent link: https://www.econbiz.de/10012653083

Uncovered interest parity : the long and the short of it

Lothian, James R. - In: Journal of empirical finance 36 (2016), pp. 1-7

Persistent link: https://www.econbiz.de/10011662736

Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

Lansing, Kevin J.; Ma, Jun - In: Journal of international money and finance 70 (2017), pp. 62-87

Persistent link: https://www.econbiz.de/10011752316

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