Baba, Naohiko; Packer, Frank - In: Journal of Banking & Finance 33 (2009) 11, pp. 1953-1962
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...