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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010370903

Covered Interest Parity Deviations : Macrofinancial Determinants

Cerutti, Eugenio M. - 2019

For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely-even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macro...

Persistent link: https://www.econbiz.de/10012892902

Carry Trade and Liquidity Risk : Evidence from forward and Cross-Currency Swap Markets

Chang, Yang - 2012

- violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …

Persistent link: https://www.econbiz.de/10013101415

From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

Baba, Naohiko - 2013

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...

Persistent link: https://www.econbiz.de/10013095699

Attention to the tail(s) : global financial conditions and exchange rate risks

Eguren-Martin, Fernando; Sokol, Andrej - 2020

We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...

Persistent link: https://www.econbiz.de/10012197839

The existence and severity of the forward premium puzzle during tranquil and turbulent periods : developed versus developing country currencies

Shehadeh, Ali; Li, Youwei; Vigne, Samuel A.; … - In: International review of financial analysis 78 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013252466

Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014

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. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months …

Persistent link: https://www.econbiz.de/10010407205

Debt buildup and currency vulnerability : evidence from global markets

Park, Donghyun; Ramayandi, Arief; Tian, Shu - 2020

In this study, we examine how public and private debt buildup is related to currency depreciation pressure. Our empirical analysis of a panel dataset of 59 advanced and emerging markets reveals that both private and public debt exacerbate currency vulnerability. However, the evidence of a...

Persistent link: https://www.econbiz.de/10012301208

The covered interest parity puzzle and the evolution of the Japan premium

Stenfors, Alexis - In: Journal of economic issues 53 (2019) 2, pp. 417-424

Persistent link: https://www.econbiz.de/10012415556

The International Monetary System After the Financial Crisis

Dorrucci, Ettore - 2014

The main strength of today's international monetary system – its flexibility and adaptability to the different needs of its users – can also become its weakness, as it may contribute to unsustainable growth models and imbalances. The global financial crisis has shown that the system cannot...

Persistent link: https://www.econbiz.de/10013069527