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Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...
Persistent link: https://www.econbiz.de/10005016245
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The covered interest parity puzzle and the evolution of the Japan premium
Stenfors, Alexis - In: Journal of economic issues 53 (2019) 2, pp. 417-424
Persistent link: https://www.econbiz.de/10012415556
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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
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Financial crises, exchange rate linkages and uncovered interest parity : evidence from G7 markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: Economic modelling 66 (2017), pp. 112-120
Persistent link: https://www.econbiz.de/10011813672
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Effizienz und Stabilität von Finanzmärkten : stehen wir vor einem Paradigmenwechsel?
Lux, Thomas - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 93 (2013), pp. 16-22
The paper discusses the impact of the financial crisis on macroeconomics and on research into financial markets. The cornerstones of the economic mainstream were made obsolete by actual developments in recent years, and there are now signs that a fundamental paradigm shift is possible. After the...
Persistent link: https://www.econbiz.de/10009728459
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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
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Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets
Bosi, Stefano; Fontaine, Patrice; Le Van, Cuong - In: Mathematical social sciences 82 (2016), pp. 26-36
Persistent link: https://www.econbiz.de/10011662845
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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
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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
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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