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Deviation from Covered Interest Rate Parity in Korea
East Asian Economic Review, 2003 This paper tested the factors which cause deviation from covered interest rate parity (CIRP) in Korea, using regression and VAR models. The empirical evidence indicates that the difference between the swap rate and interest rate differential exists and ...
Seungho Lee
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Strong sterling pound and weak European currencies in the crises: Evidence from covered interest parity of secured rates [PDF]
Journal of the Japanese and International Economies, 2016 Abstract In the post Lehman period, the interest rate of the US dollar became low on the forward contract because of“flight to quality” to the international currency. However, in the Euro crisis, that of the Sterling pound became equally low, while the other European currencies such as the Danish kroner increased its their interest rate.
Shin-Ichi Fukuda
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Analysis of Long-Term Bond Yields Using Deviations from Covered Interest Rate Parity [PDF]
Journal of Risk and Financial ManagementIn this study, the impact of arbitrage resulting from Covered Interest Parity (CIP) deviations on Korea’s long-term interest rates was analyzed, utilizing Vector Error Correction (VEC) models for Granger Causality and Impulse Response Function analyses.
Gab‐Je Jo
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Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics [PDF]
The Economic Journal, 1982 A number of macroeconomic models of open economies under flexible exchange rate assume a strong version of perfect capital mobility which implies that currency speculation commands no risk premium. If this assumption is dropped a number of important results no longer obtain.
Jonathan Eaton, Stephen J. Turnovsky
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Tests of Covered Interest Rate Parity [PDF]
Review, 1989 ECEN’FLY there has been considerable interest in and investigations of whether the covered interest parity (CIP) holds. At the inicroeconomic level, CIP is important because is it a direct consequence of covered interest arbitrage. Its failure to hold would suggest 1) that markets are inefficient in the sense that traders do not take advantage of known
Daniel L. Thornton
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Deviations from Covered Interest Rate Parity [PDF]
SSRN Electronic Journal, 2016 ABSTRACTWe find that deviations from the covered interest rate parity (CIP) condition imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk or transaction costs.
Wenxin Du +2 more
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Analysis on Recent Changes in the Covered Interest Rate Parity Condition [PDF]
KDI Journal of Economic Policy, 2014 The covered interest rate parity condition (CIRP) has been widely used in open macroeconomic analysis, risk management, exchange rate forecasts, and so forth. Due to the recent global financial crises, there have been remarkable changes in the financial markets of the emerging markets.
김정성, Kyuho Kang
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Capital constraints, counterparty risk, and deviations from covered interest rate parity [PDF]
SSRN Electronic Journal, 2009 We provide robust evidence of deviations from the Covered Interest Parity (CIP) relation since the onset of the crisis in August 2007. The CIP deviations exist with respect to different dollar interest rates and exchange rate pairs of the dollar vis-a-vis other currencies.
Niall Coffey +2 more
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Does the covered interest rate parity fit for China? [PDF]
Economic research - Ekonomska istraživanja, 2019 This paper aims to investigate whether the covered interest rate parity (C.I.P.) holds or not through examining the dynamic link between nominal interest rate differential (N.I.R.D.) and nominal exchange rate (N.E.R.) in China. With economic transitions and structural changes existing, we find that the C.I.P.
Chi‐Wei Su +3 more
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Nonlinear dynamics and covered interest rate parity [PDF]
Empirical Economics, 1998 This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the covered interest parity condition exceeds the transaction ...
Nathan S Balke, Mark E Wohar
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