Bottazzi, Jean-Marc; Luque, Jaime; Páscoa, Mário R.; … - HAL - 2012
By Covered Interest rate Parity (CIP), the FX swap implied currency interest rates should coincide with actual interest … rates. When a difference occurs, the residual is referred to as the cross currency basis. We link the Euro-Dollar currency … possession value of the scarcer currency, or the "convenience yield" associated with that currency. This is similar to …