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Covered Interest Arbitrage: Then vs. Now
Weidenmier, Marc; Juhl, Ted; Miles, William - National Bureau of Economic Research (NBER) - 2004
We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...
Persistent link: https://www.econbiz.de/10005830548
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Covered interest arbitrage : then vs. now
Juhl, Ted; Miles, William; Weidenmier, Marc D. - 2004
Persistent link: https://www.econbiz.de/10002509542
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Covered interest arbitrage : then versus now
Juhl, Ted; Miles, William; Weidenmier, Marc D. - In: Economica 73 (2006), pp. 341-352
Persistent link: https://www.econbiz.de/10003318100
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Covered Interest Arbitrage: Then versus Now
Juhl, Ted; Miles, William; x>/Weidenmier, Marc D< - In: Economica 73 (2006) 290, pp. 341-352
Persistent link: https://www.econbiz.de/10007633909
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Covered Interest Arbitrage : Then vs. Now
Juhl, Ted - 2004
We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...
Persistent link: https://www.econbiz.de/10012467726
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COVERED INTEREST ARBITRAGE: THEN VS. NOW
Juhl, Ted; Miles, William; Weidenmier, Marc D. - 2004
Persistent link: https://www.econbiz.de/10006960978
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Covered Interest Arbitrage : Then vs. Now
Juhl, Ted; Miles, William; Weidenmier, Marc - 2021
We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...
Persistent link: https://www.econbiz.de/10013223800