Results 11 to 20 of about 10,782 (229)
Exchange Rate Volatility and its Impact on the Transaction Costs of Covered Interest Rate Parity
SSRN Electronic Journal, 2003 Abstract This paper provides empirical evidence on the linkage between foreign exchange market volatility and daily 90-day covered interest rate parity (CIP) conditions of the three major exchange rates against the US dollar (US$). Markov regime shifting models were utilized to generate time series of volatility regime probabilities and these were ...
Ramaprasad Bhar +2 more
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Covered interest rate parity in emerging markets
International Review of Financial Analysis, 2011 This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does not hold for longer maturities for Brazil, Chile, Russia ...
Frank S. Skinner, Andrew Mason
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Credit Migration and Covered Interest Rate Parity [PDF]
International Finance Discussion Papers, 2019 This paper examines the connection between deviations in covered interest rate parity and differences in the credit spread of bonds of similar risk but different currency denomination. These two pricing anomalies are highly aligned in both the time series and the cross-section of currencies. The composite of these two pricing deviations – the corporate
Gordon Liao
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The Term Structure of Covered Interest Rate Parity Violations [PDF]
The Journal of FinanceABSTRACTWe quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model‐implied and observed derivative prices reflects the impact
Patrick Augustin +3 more
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Limits to Arbitrage and Deviations from Covered Interest Rate Parity
, 2021 Nous montrons que les écarts à court terme par rapport à la parité couverte des taux d’intérêt se sont creusés au premier semestre de 2015. Depuis la décision de la Banque nationale suisse de renoncer à sa politique de taux de change plancher, l’ampleur et la volatilité des écarts par rapport à cette parité se sont accrus pour plusieurs couples de ...
James Pinnington, Maral Shamloo
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Arbitraging Covered Interest Rate Parity Deviations and Bank Lending
American Economic Review, 2021 I propose and test a new channel through which covered interest rate parity (CIP) deviations can affect bank lending in emerging economies. I argue that when CIP deviations exist, banks attempt to arbitrage them. To do so, banks must borrow in a particular currency.
Lorena Keller
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Deviations From Covered Interest Rate Parity: Evaluating Drivers for Changes
Journal of Quantitative Methods, 2020 This paper evaluates the deviation from covered interest rate parity (CIP) after the great financial crisis. As a new phenomenon, this deviation has been approached both theoretically (violating the no arbitrage condition) and empirically. Through an extensive literature review, this study maps the possible drivers of the deviation and their proxies ...
Fernando Chertman
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Covered Interest Rate Parity Deviations In External Emerging Market Sovereign Debt
The Journal of Fixed Income, 2019 Non-U.S. dollar denominated external emerging market debt issuance in euros, yen, and sterling has grown substantially in recent years. This paper is the first study to explore how non-dollar external emerging market bonds violate covered interest rate parity relative to their dollar-denominated external emerging market debt counterpart bonds for a ...
Jonathan Hartley
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Empirical Investigation of Covered Interest Rate Parity in Developed and Emerging Markets
SSRN Electronic Journal, 2012 We use deviations in the covered interest rate parity (CIRP) condition to examine violations of the law of one price (LOP). We use the time periods around the recent financial crisis to examine the dynamics of CIRP violations. We find that, for both developed and emerging economies, LOP tends to hold during normal economic times but that it is severely
Emrah Şener +2 more
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