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About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013

Hui, Cho H.; Fong, Tom - In: International review of economics & finance : IREF 40 (2015), pp. 174-190

Persistent link: https://www.econbiz.de/10011573573

Volatility spillovers across the swap markets : evidence from US, Australian, and Japanese swap markets

Bhargava, Vivek; Malhotra, Davinder Kumar; Tsetsekos, … - In: International journal of bonds and derivatives 2 (2016) 1, pp. 59-86

Persistent link: https://www.econbiz.de/10011585700

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

Role of cross currency swap markets in funding and investment decisions

Brophy, Thomas J.; Herrala, Niko; Jurado, Raquel; … - 2019

A US dollar funding premium in the EUR/USD cross currency swap market has been in existence since 2008. Whilst there … currency swap markets over balance sheet reporting dates, using the money market statistical reporting (MMSR) dataset in order …

Persistent link: https://www.econbiz.de/10012054472

Bid-ask spread determination in the FX swap market : competition, collusion or a convention?

Stenfors, Alexis - In: Journal of international financial markets, … 54 (2018), pp. 78-97

Persistent link: https://www.econbiz.de/10011984028

Covered interest rate parity, relative funding liquidity and cross-currency repos

Kohler, Daniel; Müller, Benjamin - 2019

Persistent link: https://www.econbiz.de/10012098804

What do deviations from covered interest parity and higher FX hedging costs mean for Asia?

Hong, Gee Hee; Oeking, Anne; Kang, Kenneth H.; Rhee, … - 2019

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 …

Persistent link: https://www.econbiz.de/10012102189

Need for managing own exposure to foreign exchange risk : empirical evidence from the Nigerian economy

Ibrahim, Bello A.; Jibrin, Musa Talba; Mustafa, Daud; … - In: Review of economics and development studies 3 (2017) 2, pp. 91-100

Persistent link: https://www.econbiz.de/10011940989

Investigating the cross currency basis in EURUSD and EURGBP

Heidorn, Thomas; Mamadalizoda, Nekruz - 2019

The fundamental premise upon which the pricing of major FX derivatives rests is the Covered Interest Parity (CIP), and a violation is seen as a reflection of potential capital market inefficiencies. CIP postulates that FX forward prices simply reflect the interest rate differential between the...

Persistent link: https://www.econbiz.de/10012115798

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