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 …

This paper studies the dynamic relationship between demand for the US Treasury yields and cross-currency swap (CCS … interest parity in foreign exchange swap markets …

---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented … using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP arbitrage … opportunities. In equilibrium, dealers avert inventory imbalances coming from lower-rated banks using the FX swap market to cover …