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The failure of covered interest parity : FX hedging demand and costly balance sheets

Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016

Persistent link: https://www.econbiz.de/10011609852

Deviations from triangular arbitrage parity in foreign exchange and bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin; … - Sonderforschungsbereich Statistical Modelling of … - 2018

Persistent link: https://www.econbiz.de/10011868301

Demand-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022

Persistent link: https://www.econbiz.de/10013172797

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

Interconnected deviations from covered interest parity

Ahelegbey, Daniel Felix; Ibhagui, Oyakhilome - 2020

Persistent link: https://www.econbiz.de/10012322005

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 … spreads opening up in these markets provide an incentive for cross-border financial flows and corresponding hedging demand …

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

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 and frictions in currency and money markets : analysis of British pound and dollar for the period 1999-2006

Warburton, Christopher E. S. - In: Applied econometrics and international development 18 (2018) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10012000529

Forward and spot exchange rates in a multi-currency world

Hassan, Tarek A.; Mano, Rui C. - 2014

Persistent link: https://www.econbiz.de/10010391780

Forward and spot exchange rates in a multi-currency world

Hassan, Tarek A.; Mano, Rui C. - 2014

Persistent link: https://www.econbiz.de/10010395177

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