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Risk-adjusted covered interest parity : theory and evidence
Wong, Alfred Y.; Leung, David; Ng, Calvin - 2016
Persistent link: https://www.econbiz.de/10012200964
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10011302131
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The portfolio theory of inflation and policy (in)effectiveness
Bossone, Biagio - 2019
taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical …
Persistent link: https://www.econbiz.de/10012012446
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The portfolio theory of inflation (and policy effectiveness)
Bossone, Biagio - 2019
The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in …
Persistent link: https://www.econbiz.de/10011993031
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Interconnected deviations from covered interest parity
Ahelegbey, Daniel Felix; Ibhagui, Oyakhilome - 2020
Persistent link: https://www.econbiz.de/10012322005
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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
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Exchange Rate Determination under Limits to CIP Arbitrage
Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2024
Recent theories of exchange rate determination have emphasized limited UIP arbitrage by international financial … institutions. New regulations since 2008 have also lead to imperfect CIP arbitrage. We show that under limited CIP arbitrage the … operate through the swap market, which have no effect under perfect CIP arbitrage. More familiar financial shocks that impact …
Persistent link: https://www.econbiz.de/10015056203
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Covered interest parity arbitrage
Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - 2019
Persistent link: https://www.econbiz.de/10012130967
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The Forex Forward Puzzle : The Career Risk Hypothesis
Liu, Fang - 2009
We conjecture that the forward puzzle may reflect career risks: when professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in ERM rates. As deep discounts do signal danger, we next specify nonlinear variants of the...
Persistent link: https://www.econbiz.de/10013159867
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The Dollar and Deviations from Covered Interest Parity Revisited : New Insights from Dynamic Comovements
Agudze, Komla - 2020
Recent findings that suggest a robust negative association between changes in the cross-currency basis and the broad dollar have taken center stage in the international finance literature. In this article, we revisit this issue, from a purely empirical, data-driven perspective, using G10 and 10...
Persistent link: https://www.econbiz.de/10012844860