This working paper was written by Yuewen Tang (Hong Kong Monetary Authority) and Alfred Wong (Hong Kong Institute for Monetary and Financial Research).We analyse dollar funding stress experienced by advanced and emerging market economies through studying the behaviour of their cross-currency...

This paper puts forward a theory to explain the relationship among the spot exchange rate, the forward exchange rate and the interest differential between two countries in the presence of counterparty credit risk and funding liquidity risk. We argue that covered interest parity deviations...