Similar Search Results

Sovereign credit default swaps and the currency forward bias

Calice, Giovanni; Lin, Ming-Tsung - In: Journal of international financial markets, … 86 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014433385

Demand-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022

Persistent link: https://www.econbiz.de/10013172797

Exchange rates and long-term bonds

Alexius, Annika; Sellin, Peter - In: The Scandinavian journal of economics 114 (2012) 3, pp. 974-990

Persistent link: https://www.econbiz.de/10009714110

Exchange rates and long-term bonds

Alexius, Annika; Sellin, Peter - 2002

Tentative evidence suggests that the empiricalfailure of uncovered interest parity (UIP) is confined to short-term interest rates. Tests of UIP for long-term interest rates are however hampered by various data problems. By focusing on short investments in long-term bonds, these data problems can...

Persistent link: https://www.econbiz.de/10011587727

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A - 2020

Persistent link: https://www.econbiz.de/10012534804

Interest rate arbitrage with differential arbitrage opportunities

Natsis, Trifon - 1992

Persistent link: https://www.econbiz.de/10000140355

Covered interest parity deviations : macrofinancial determinants

Cerutti, Eugenio M.; Obstfeld, Maurice; Zhou, Haonan - In: Journal of international economics 130 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012887994

The Term Structure of Covered Interest Rate Parity Violations

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2022

) across multiple horizons imply simultaneous arbitrage opportunities only if uncollateralized interbank lending rates are … simple no-arbitrage framework. They deliver novel quantitative benchmarks that reconcile a zero cross-currency basis with non …-zero cross-currency basis swap rates. We quantify that the no-arbitrage benchmark accounts for about two thirds of the alleged …

Persistent link: https://www.econbiz.de/10013492075

The failure of covered interest parity : FX hedging demand and costly balance sheets

Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016

Persistent link: https://www.econbiz.de/10011609852

Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities

Gambacorta, Leonardo; Mayordomo, Sergio; Serena, José … - 2020

Persistent link: https://www.econbiz.de/10012198409