Results 21 to 30 of about 10,782 (229)
The Term Structure of Covered Interest Rate Parity Violations [PDF]
, 2020 Patrick Augustin +3 more
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Voprosy statistiki, 2023 This paper examines the fulfillment of the covered interest rate parity on Russian data from 2021 to 2023. The fulfillment of the covered interest parity means that investors are not able to profit from currency arbitrage using forward contracts. Crisis periods and restrictions on capital flows can clearly lead to non-fulfillment of interest parity.The
Andrey Zubarev, Ya. P. Motyakina
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Deviations from Covered Interest Rate Parity [PDF]
Journal of Finance, 2018 Wenxin Du, Adrien Verdelhan
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Covered interest rate parity violations : can they be anticipated?
, 2017 The covered interest rate parity (CIP) condition is widely known and taught in academia. Since the Great Financial Crisis, sustained violations of the CIP condition have occurred, pointing to arbitrage opportunities. Pinnington and Shamloo (2016) investigated these deviations for the foreign currency cross-currency basis (basis) against Swiss franc ...
Dominic Piana
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The Term Structure of Covered Interest Rate Parity Violations
SSRN Electronic Journal, 2022 Hong Kong Institute for Monetary and Financial Research
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Covered Interest-Rate Parity Revisited: an Extreme Value Copula Analysis
Anuario Facultad de Ciencias Económicas y Empresariales, 2015 This article studied the covered interest-rate parity (CIP) condition under extreme market movements using extreme value theory and extreme value copulas to characterize dependence between extreme interest rate differentials and forward premium.
Mikel Ugando-Peñate
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Credit migration and covered interest rate parity [PDF]
Journal of Financial Economics, 2020 Gordon Y Liao
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Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP [PDF]
Seonmul yeongu, 2022 This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollar-denominated bonds relative to ...
Karim Henide
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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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