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What do deviations from covered interest parity and higher FX hedging costs mean for Asia?
Hong, Gee Hee; Oeking, Anne; Kang, Kenneth H.; Rhee, … - 2019
often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are … other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes … since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute …
Persistent link: https://www.econbiz.de/10012102189
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The twin faces of emerging Asia's currency forward markets in an imperfect setting
Ramanathan, Suresh; Teng, Kwek Kian - In: Applied financial economics 23 (2013) 16/18, pp. 1433-1446
Persistent link: https://www.econbiz.de/10010259390
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Deviation from covered interest parity in Asian foreign-exchange swap markets during the financial crisis of 2007 - 2009
Lee, Inhyung; Lee, Seungho; Shim, Ilhyock - In: Asian capital market development and integration : …, (pp. 162-186). 2014
Persistent link: https://www.econbiz.de/10010356810
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What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia
Hong, Gee Hee - 2019
often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are … other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes … since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute …
Persistent link: https://www.econbiz.de/10012864099
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The international transmission of interest rate shocks : the Federal Reserve and emerging markets in Latin America and Asia
Edwards, Sebastian - In: Journal of international money and finance 29 (2010) 4, pp. 685-703
Persistent link: https://www.econbiz.de/10003992510
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The risk adjusted uncovered equity parity
Kim, Heeho - In: Journal of international money and finance 30 (2011) 7, pp. 1491-1505
Persistent link: https://www.econbiz.de/10009407642
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End-of-sample cointegration breakdown tests
Andrews, Donald W. K.; Kim, Chae-yŏng - 2002
Persistent link: https://www.econbiz.de/10001739950
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End-of-Sample Cointegration Breakdown Tests
Andrews, Donald W. K.; Kim, Jae-Young - 2003
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...
Persistent link: https://www.econbiz.de/10014088397
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A test of the revised interest parity in China and Asian emerging markets
Kim, Heeho; Cho, JooEun - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 23-41
Persistent link: https://www.econbiz.de/10009503134
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Evidence of real interest rate parity in Asian countries : unit root test by sequential panel selection method
Chang, Chih-kai; Chang, Tsangyao - In: The empirical economics letters : a monthly … 11 (2012) 2, pp. 187-196
Persistent link: https://www.econbiz.de/10009758242