Similar Search Results

Breaking par : short-term determinants of yen-dollar swap deviations

Angrick, Stefan; Nemoto, Naoko - 2018

This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly-frequency data on money market-related and capital marketrelated financial variables, we analyse how the cross-currency basis is influenced by differences in returns and different types...

Persistent link: https://www.econbiz.de/10011893926

Segmented Money Markets and Covered Interest Parity Arbitrage

Rime, Dagfinn - 2017

This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest … across the full rate spectrum. A narrow set of global top-tier banks enjoys risk-less arbitrage opportunities as dealers set … quotes to avert order flow imbalances. We show how a situation with persistent arbitrage profits arises as an equilibrium …

Persistent link: https://www.econbiz.de/10012952174

Segmented Money Markets and Covered Interest Parity Arbitrage

Rime, Dagfinn - 2017

This paper studies the violation of the most basic no-arbitrage condition in international finance — Covered Interest …-less arbitrage opportunities as dealers set quotes to avert order flow imbalances. A situation with persistent arbitrage …

Persistent link: https://www.econbiz.de/10012945047

Covered Interest Parity Arbitrage

Rime, Dagfinn - 2020

---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented … using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP arbitrage … demand for dollar funding, by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to …

Persistent link: https://www.econbiz.de/10012854893

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726

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

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011372514

Forward and Spot Exchange Rates in a Multi-Currency World

Hassan, Tarek A. - 2017

Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...

Persistent link: https://www.econbiz.de/10012974287

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals

Pozzi, Lorenzo; Sadaba, Barbara - 2017

between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps …

Persistent link: https://www.econbiz.de/10011662005

1
2
3
4
5
6
7
8
9
10
Next
Last