Brophy, Thomas J.; Herrala, Niko; Jurado, Raquel; … - 2019
A US dollar funding premium in the EUR/USD cross currency swap market has been in existence since 2008. Whilst there … have played a strong role in driving the US dollar funding premium. The purpose of this study is to gauge whether these … increase in the US dollar funding premium described above, a cyclical component has led to an amplification of the premium over …