Results 191 to 200 of about 10,764 (218)

The Interest Rate Parity, Covered Interest Arbitrage and Speculation under Market Imperfection

1994
The interest rate parity is important in international finance for at least two reasons. It explains covered interest arbitrage, and it specifies conditions for speculation in currency markets (see Ghosh, 1991; 1992; Niehans, 1984). It was Keynes (1923) who had initiated via interest rate parity the discussion on short-term capital flows, and later ...
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Analysis of the Relationship Between the Exchange Rate Policy of the Russian Central Bank and the Interest Rates: Uncovered and Covered Parity [PDF]

Journal of the New Economic Association, 2009
An important condition for the transition to the free float and inflation targeting regime is the ability of the Russian Central Bank to pursue an active independent policy of interest rate adjustment. The purpose of this investigation is to analyze the effect produced by the exchange rate policy of the Russian Central Bank on the money market and to ...
Evsey Gurvich, Vladimir Sokolov, Alexey Ulyukaev   +2 more
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Deviations from the Covered Interest Rate Parity

2020
Within this paper, I study the significance and persistence of the returns from the Covered Interest Rate Parity (CIP) subject to bid/ask spread and transaction costs. Afterwards, two explanations for the existence of deviations from the CIP are presented. I find that the NZD and AUD strategies perform especially poorly.
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Exchange Controls, Political Risk and the Eurocurrency Market: New Evidence from Tests of Covered Interest Rate Parity

International Economic Journal, 1990
This study employs daily data to examine the effects on Eurocurrency and onshore returns of the May 21, 1981 imposition of exchange controls by French President Mitterand. Prior to this time, transaction costs explain the average onshore deviations from covered parity; however, these averages ignore short-lived political risk premia which emerged just ...
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Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps

International Review of Economics and Finance, 2022
Takahiro Hattori
exaly  

Covered interest parity deviations: Macrofinancial determinants

Journal of International Economics, 2021
Maurice Obstfeld
exaly  

The Term Structure of Covered Interest Rate Parity Violations

SSRN Electronic Journal, 2022
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Mind the Violation of Covered Interest Rate Parity, an Emerging Market Perspective

SSRN Electronic Journal, 2022
Nan He, Tan Wang
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Credit migration and covered interest rate parity

Journal of Financial Economics, 2020
Gordon Y Liao
exaly  

Analysis of RMB Covered Interest Rate Parity and its Implication

The Academic Society of Global Business Administration, 2019
Woong Ryeol Kim, Moon-Kyum Kim
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