principle, to arbitrage. However, this arbitrage cannot be implemented in practice because of transaction costs. We suggest that …

the cross currency swap rates and treasury bond yields of 1-month to 4-year tenures by the cointegration testing procedure … suggested by Pesaran, Shin and Smith (PSS). Our empirical results indicate that, at shorter tenures, cross currency swap rates …

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. But after the Lehman bankruptcy, arbitrage broke down. By replicating exactly two major …