Similar Search Results

Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? : evidence from cross-currency basis swaps

Hattori, Takahiro - In: International review of economics & finance : IREF 79 (2022), pp. 224-240

Persistent link: https://www.econbiz.de/10013343385

Carry trades, momentum trading and the forward premium anomaly

Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10009261760

The term structure of currency futures' risk premia

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38

Persistent link: https://www.econbiz.de/10012819558

Political vs. Currency Premia in International Real Interest Differentials : a Study of Forward Rates for 24 Countries

Frankel, Jeffrey A.; MacArthur, Alan T. - 2021

Different approaches to quantifying the degree of capital mobility for a cross-section of currencies -- particularly saving-investment correlations and tests of real interest parity - have appeared to show a surprisingly low degree of financial market integration. We use a new data set, forward...

Persistent link: https://www.econbiz.de/10013231589