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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
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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
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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
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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
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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
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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
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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
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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
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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
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Dollar safety and the global financial cycle
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - 2019
We build a model of the global financial cycle with one key ingredient: the demand for safe dollar assets. The model matches patterns of dollar borrowing and currency mismatch, the U.S. external balance sheet, low U.S. interest rates and exorbitant privilege, spillovers of the U.S. monetary...
Persistent link: https://www.econbiz.de/10012065173