The emergence and persistence of basis spreads in cross-currency basis swaps (CCBSs) since the global financial crisis have become a mystery in international finance, as they violate the long standing principle of covered interest parity (CIP). We argue that the phenomenon is no mystery but...

The emergence and persistence of basis spreads in cross-currency basis swaps (CCBS) since the global financial crisis have become a mystery in international finance, as they violate the long-standing principle of covered interest parity (CIP). We argue that the phenomenon is no mystery but...

We argue that the breakdown of covered interest parity is no mystery but merely a reflection of the new trading environment in which uncollateralized and collateralized transactions have ceased to be treated as equivalent, rendering unsecured interest rates inappropriate for pricing secured...

The emergence and persistence of basis spreads in cross-currency basis swaps (CCBSs) since the global financial crisis have become a mystery in international finance, as they violate the longstanding principle of covered interest parity (CIP). We argue that the phenomenon is no mystery but...

This working paper was written by Yuewen Tang (Hong Kong Monetary Authority) and Alfred Wong (Hong Kong Institute for Monetary and Financial Research).We analyse dollar funding stress experienced by advanced and emerging market economies through studying the behaviour of their cross-currency...