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The Role of Endogenous Uncertainty in the Forward Discount Bias

Black, Stanley Wilkes - In: Rivista Internazionale di Scienze Sociali 115 (2007) 3, pp. 327-364

This study examines what role the concept of endogenous uncertainty can have in explaining a phenomenon of international financial markets, the forward discount bias. The forward discount bias puzzle is unexplained by models assuming economic agents have full knowledge of the structure of the...

Persistent link: https://www.econbiz.de/10010878167

THE FAILURE OF UNCOVERED INTEREST PARITY, FORWARD BIAS AND RELATED PUZZLES

Pippenger, John - Department of Economics, University of California-Santa … - 2013

Three puzzles are closely related to the forward-bias puzzle and the failure of uncovered interest parity: (1) UIP failure is greater for short than long maturities, (2) forward bias is larger between developed than between developing countries and (3) there is no systematic forward bias in...

Persistent link: https://www.econbiz.de/10010843442

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2022

Persistent link: https://www.econbiz.de/10013167713

The covered interest parity puzzle and the evolution of the Japan premium

Stenfors, Alexis - In: Journal of economic issues 53 (2019) 2, pp. 417-424

Persistent link: https://www.econbiz.de/10012415556

The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2022

Persistent link: https://www.econbiz.de/10012813568

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

Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months …

Persistent link: https://www.econbiz.de/10010407205

Demand-supply imbalance risk and long-term swap spreads

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

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

Covered Interest Parity in long-dated securities

Syrstad, Olav - 2020

spreads across currencies allow for substantial deviations from common measures of CIP without implying arbitrage … to persistent arbitrage opportunities in long-dated fixed income markets. …

Persistent link: https://www.econbiz.de/10012417497