We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. While there is no evidence of mispricing before 2007, during the 2007–2008 crisis we document a persistent...

The Law of One Price suggests a simple arbitrage relationship that links prices of Treasury bonds when issued by the same issuer in different currency denominations. This relationship was widely violated during the 2007-2008 Financial Crisis. In this paper, we use international cross-sectional...