often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are … other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes … since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute …

factors: credit risk differential, funding liquidity differences, measurement error, hedging demand imbalance, and new … constraints to arbitrage. Furthermore, we carry out a term structure analysis, showing the varying dynamics of CIP violations …

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 …