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Covered Interest Parity in long-dated securities

Syrstad, Olav - 2020

spreads across currencies allow for substantial deviations from common measures of CIP without implying arbitrage … to persistent arbitrage opportunities in long-dated fixed income markets. …

Persistent link: https://www.econbiz.de/10012417497

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020

as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from … the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention … fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only …

Persistent link: https://www.econbiz.de/10012251074

Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP

Henide, Karim - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 74-88

adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an … indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of … the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is …

Persistent link: https://www.econbiz.de/10013202388

Price-setting in the foreign exchange swap market : evidence from order flow

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020

This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the...

Persistent link: https://www.econbiz.de/10012417506

The efficiency of the Polish zloty exchange rate market : the uncovered interest parity and fractal analysis approaches

Czech, Katarzyna; Pietrych, Łukasz - In: Risks : open access journal 9 (2021) 8, pp. 1-17

The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the...

Persistent link: https://www.econbiz.de/10012612368

The development of local currency bond markets and uncovered interest rate parity

Park, Cyn-Young; Shin, Kwanho - 2023

This paper investigates whether the uncovered interest parity (UIP) will hold more firmly if the local currency bond markets (LCBMs) are more developed, and the presence of nonbank financial institutions (NBFIs) is expanded. Deviations in UIP decrease as LCBMs develop, while the patterns of the...

Persistent link: https://www.econbiz.de/10013540710

Die Konvergenzkriterien des Maastricht-Vertrages : unter besonderer Berücksichtigung ihrer Konsistenz

Bünning, Lars - 1997

Der Europäische Rat entscheidet 1998, welche Länder an der 1999 beginnenden Währungsunion teilnehmen werden. Sechs Jahre nach der Unterzeichnung der Maastricht-Verträge steht dem Konvergenzfortschritt bei der Preis- und Zinsentwicklung eine unzureichende Konvergenz bei der Finanzlage der...

Persistent link: https://www.econbiz.de/10011927489

Modeling exchange rate -interest rate differential nexus in BRICS : the role asymmetry and structural breaks

Sani, Zainab; Salisu, Afees A.; Onyia, Eucharia; Anih, … - In: Economics and Business Letters : EBL 9 (2020) 2, pp. 73-83

Persistent link: https://www.econbiz.de/10012216768

How raising interest rates can cause inflation and currency depreciation

Jón Helgi Egilsson - 2020

In this paper we derive a new model on exchange rate response to a lasting higher interest rate level. Contemporary models do not provide a convincing explanation for this relationship, but recent research suggests that models based on demand-pull effects to be somewhat confined to small funding...

Persistent link: https://www.econbiz.de/10012257177

Foreign exchange rate uncertainty in Korea

Lee, Seojin - In: East Asian economic review 24 (2020) 2, pp. 165-184

Persistent link: https://www.econbiz.de/10012239677