deviations in terms of the premiums on swap-implied US dollar interest rates for the euro, British pound, Hong Kong dollar … was the main driving factor of the negative deviations in the Hong Kong, Japan and Singapore markets. Federal Reserve Swap …

institutions relied heavily on the foreign-exchange (FX) swap markets for US-dollar funds. This one-sided market induced a risk … premium of the FX swap-implied US-dollar rate across a range of funding currencies, i.e. a deviation from the covered interest … parity (CIP) condition. The turbulence in the global interbank markets therefore spilled over to the FX swap markets …

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 …