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This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or fail to fully account for the trading costs. Hence, roundtrip CIP profit is...
Persistent link: https://www.econbiz.de/10012417497
In this paper, we study the mechanisms that govern price stability of MakerDAO's DAI token, the first decentralized stablecoin. DAI works through a set of autonomous smart contracts, in which users deposit cryptocurrency collateral, typically Ethereum, and borrow a fraction of their positions as...
Persistent link: https://www.econbiz.de/10013222444
Persistent link: https://www.econbiz.de/10014248808
This paper investigates the cross-sectional predictive ability of text-based factors in the cryptocurrency market --an important asset class for retail and institutional investors. We employ Bidirectional Encoder Representations from Transformers (BERT) topic modeling to analyze news articles...
Persistent link: https://www.econbiz.de/10014351292
Persistent link: https://www.econbiz.de/10015085106
Persistent link: https://www.econbiz.de/10009614341
This paper investigates the validity of Covered Interest Rate Parity (CIP) in long-dated fixed income securities. I show that common measures of CIP in securities of longer maturities rely on trading strategies subject to rollover risk and credit risk, or fail to fully account for the trading...
Persistent link: https://www.econbiz.de/10012832886
Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we compute market forecast errors; differences between expected future interest...
Persistent link: https://www.econbiz.de/10012214373
Persistent link: https://www.econbiz.de/10012392607