Search Results - subject_exact:"Interest rate parity"

A note on currency hedging of dollar investments of Swiss investors 1974-2025

Kugler, Peter - 2026

Our econometric (cointegration) analysis of the Swiss franc US dollar exchange rates over the period 1974 - 2025 provides strong evidence for a negative bias of the forward rate as predictor of the spot rate for the years up to 2007, which disappears with data from 2008 onwards. This implies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635688

Capital inflow shocks and convenience yields

Ben Zeev, Nadav; Ben-Ze'ev, Noam; Nathan, Daniel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593005

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Capital inflow shocks and convenience yields

Ben Zeev, Nadav; Ben-Ze'ev, Noam; Nathan, Daniel - 2025

Book / Working Paper

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638924

CIP violations as functional components of the dynamic cross-currency basis curve

Borner, David; Sorg, Heiko - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672534

Optimal currency strategies under deviations from interest parity

Viceira, Luis M.; Shen, Sally - 2026 - This version: July 1, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677405

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Optimal Currency Strategies Under Deviations From Interest Parity

Viceira, Luis M.; Shen, Sally - 2026

Book / Working Paper

Dollar funding fragility and non-U.S. global banks

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015546278

Beyond rate parity : examining offer uniqueness and channel credibility in hotel pricing

Lee, Sung W.; Sharma, Amit - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373265

Heterogeneous UIPDs across firms : spillovers from U.S. monetary policy shocks

Acosta-Henao, Miguel; Amado, María Alejandra; Martí, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573492

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Heterogeneous UIPDs across firms: spillovers from U.S. monetary policy shocks

Acosta-Henao, Miguel; Amado, Maria Alejandra; Martí, … - 2025

Book / Working Paper

Heterogeneous UIPDs across firms: spillovers from U.S. monetary policy shocks

Acosta-Henao, Miguel; Amado, María Alejandra; Martí, … - 2025

Book / Working Paper

Long-run uncovered interest parity in emerging markets

Rebucci, Alessandro; Toraman, Sinem Yagmur; Valente, Giorgio - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015448082

Covered interest parity in emerging markets : measurement and drivers

Dao, Mai; Gourinchas, Pierre-Olivier - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015555160

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Covered Interest Parity in Emerging Markets : Measurement and Drivers

Dao, Mai - 2025

Book / Working Paper

Demand-driven risk premia in foreign exchange and bond markets

Krohn, Ingomar; Uthemann, Andreas; Vala, Rishi; Yang, Jun - 2025 - Last updated: November 3, 2025

We establish an empirical framework that causally identifies how Treasury demand shocks transmit across foreign exchange and global bond markets, providing direct validation of quantity-driven theories of international risk premia. Our identification exploits predetermined auction supply to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607894

Decoupling Dollar and Treasury Privilege

Du, Wenxin; Keerati, Ritt; Schreger, Jesse - 2026

We document a strong decoupling between the convenience yield on the U.S. dollar and U.S. Treasuries. We measure the convenience of the U.S. dollar using covered interest parity (CIP) deviations between risk-free bank rates, such as secured overnight rates since the benchmark reform. In...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626329

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Decoupling dollar and treasury privilege

Du, Wenxin; Keerati, Ritt; Schreger, Jesse - 2025

Book / Working Paper

Long-run interest rate differentials and the profitability of currency carry

Kaebi, Mohammed Mehdi; Martins, Igor Ferreira Batista - 2025

This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the returns to currency carry strategies. We show that long-run differentials account for most of the profitability, while cyclical differentials play only a limited role. A simple...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015533358

Macro-economic determinants of the relationship between exchange rate and stock returns : a two-stage approach

Murthy, K. V. Bhanu; Singh, Amit Kumar; Aggarwal, Annu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015403394

Quantities and covered-interest parity

Moskowitz, Tobias J.; Ross, Chase P.; Ross, Sharon Y.; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015056428

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Quantities and Covered-Interest Parity

Moskowitz, Tobias J.; Ross, Chase P.; Ross, Sharon Y.; … - 2024

Book / Working Paper

The legal aspects of hotel rate parity

Bianchi, Giuliano; Chen, Yong - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015056934

Do professional forecasters follow uncovered interest rate parity?

Bürgi, Constantin; Song, Mengdi - 2024

Not according to our data. We use two data sets to test whether professional forecasters follow uncovered interest rate parity (UIP) when making their exchange rate predictions both based on point prediction and direction. We find that professional forecasters generally do not follow UIP across...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015065298

A currency premium puzzle

Hassan, Tarek A.; Mertens, Thomas; Wang, Jingye - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015083679

Covered interest parity : a forecasting approach to estimate the neutral band

Hernández, Juan R. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440309

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Covered interest parity: a forecasting approach to estimate the neutral band

Hernández, Juan R. - 2024

Book / Working Paper

Global banks and synthetic funding : the benefits of foreign relatives

Eguren-Martin, Fernando; Ossandon Busch, Matias; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014483206

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015458819

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An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan - 2024 - This version: January 9, 2024

Edition: This version: January 9, 2024

Book / Working Paper

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

Edition: This version: June 5, 2018

Book / Working Paper

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: September 13, 2018

Edition: This version: September 13, 2018

Book / Working Paper

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018

Book / Working Paper

An Intermediation-Based Model of Exchange Rates

Malamud, Semyon - 2018

Book / Working Paper

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018

Book / Working Paper

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014527087

The Feldstein-Horioka Puzzle or Paradox after 44 years : a fallacy of composition

Horioka, Charles - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015187620

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The Feldstein-Horioka puzzle or paradox after 44 Years : a fallacy of composition

Horioka, Charles - 2024

Book / Working Paper

Global bank lending and exchange rates

Becker, Jonas; Schmeling, Maik; Schrimpf, Andreas - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014463828

Does the interest parity puzzle hold for Central and Eastern European economies?

Da̜browski, Marek A.; Janus, Jakub - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015127077

Put-Call parities, absence of arbitrage opportunities, and nonlinear pricing rules

Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015149385

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Put-Call parities, absence of arbitrage opportunities and non-linear pricing rules

Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - 2022

Book / Working Paper

Connecting exchange rates to fundamentals under indeterminacy

Fujiwara, Ippei; Hirose, Yasuo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015203566

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Connecting exchange rates to fundamentals under indeterminacy

Fujiwara, Ippei; Hirose, Yasuo - 2024

Book / Working Paper

Hunting for dollars

Kloks, Pēteris; Mattille, Edouard; Ranaldo, Angelo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015115169

Beyond co-integration : new tools for inference on co-movements

Abadir, Karim Maher; Talmain, Gabriel - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338755

Uncovered interest rate parity phenomenon and determinants of domestic interest rates : an analysis of Pakistan and China economies

Ali, Malik Saqib; Ahmad, Ishtiaq; Faizan, Muhammad - 2024

The core objective of this article is to explore the viability of uncovered interest parity and to reconnoiter major determinants of domestic interest rates of the Pakistan and China economies. It is imperative to study the interest rate parity that assistances to comprehend that exactly how...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015411108

Beyond carry: the prospective interest rate differential and currency excess returns

Dong, Mengmeng; Goto, Shingo; Hou, Kewei; Yan, Xu; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014475701

The Chinese silver standard : parity, predictability, and (in)stability, 1912-1934

Li, Huachen; Nason, James Michael - 2024 - Revised in March 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015397743

Monetary policy independence during reversal phases of domestic-foreign interest rate differentials

Kim, Kyunghun - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015184795

UIP deviations in times of uncertainty : not all countries behave alike

Gole, Purva; Perego, Erica - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015079811

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UIP deviations in times of uncertainty : not all countries behave alike

Gole, Purva; Perego, Erica - 2024

Book / Working Paper

Yes! uncovered interest parity does hold in the long run

Baillie, Richard; Kapetanios, George; Kim, Kun Ho - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574512

Does the uncovered interest parity hold better in korea?

Hur, Joonyoung; Shin, Kwanho - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574529

Covered interest parity : the long run evidence

Accominotti, Olivier; Chambers, David; Cen, Jason; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062058

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

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013482168

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

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020

Book / Working Paper

Impact of interest rate differential and exchange rate movement on the dynamics of Nigeria's international private capital flows

Karimo, Tari M. - 2020

The study examines the impact of interest rate differential and exchange rate move-ment on the dynamics of Nigeria's international private capital flows from 2010Q1to 2019Q4. It uses the interest rate parity theory and the Markov Switching TimeVarying Transition Probability Modelling approach....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012513274

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Impact of interest rate differential and exchange rate movement on the dynamics of Nigeria's international private capital flows

Karimo, Tari M. - 2020

Article

Monetary policy under an exchange rate anchor

El Hamiani Khatat, Mariam; Buessing-Loercks, Mark; … - 2020

This paper argues that there is scope for monetary policy under an exchange rate anchor, and discusses the related monetary policy design and implementation. It shows that the exchange rate can be used as the main monetary policy instrument while the policy rate can target the exchange rate. An...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012302036

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

Park, Cyn-Young; Shin, Kwanho - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564699

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

Park, Cyn-Young; Shin, Kwanho - 2023

Book / Working Paper

The Development of Local Currency Bond Markets and Uncovered Interest Rate Parity

Park, Cyn-Young; Shin, Kwanho - 2023

Book / Working Paper

The US Dollar and Covered Interest Rate Parity Deviations : Oil Price Channel

Iwuagwu, Chikaodinaka Azuka - 2023

In this paper, I analyze covered interest rate parity (CIP) deviations among thirteen (13) Emerging Market economies and the US dollar. Also, I document a new triangular connection formed by the US dollar, oil prices in US dollars, and CIP deviations. I find empirical evidence that a stronger...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014256469

The Perfect Storm : Bank of Israel's Forex Interventions, Global Banks' Limited Risk-Bearing Capacity, Deviations from Covered Interest Parity, and the Impact on the USD/ILS Options Market

Hertrich, Markus; Nathan, Daniel - 2023

Using confidential daily foreign exchange interventions (FXI) data, we analyse the FXI episode of the Bank of Israel (BOI) from 2013 to 2019. We find that a purchase of US dollar (USD) 1 billion is on average associated with a depreciation of the Israeli new shekel (ILS) by 0.82%-0.83%, which is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014257266

An Unambiguous Statement of Interest Rate Parity

Pukthuanthong, Kuntara; thomas, lee - 2023

Interest rate parity (IRP) states that the difference between the interest rates of two currencies equals the expected percentage change in the associated exchange rate. Unfortunately, IRP is ambiguous. There are two inconsistent values of the expected percentage change in the exchange rate,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014257974

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An Unambiguous Statement of Interest Rate Parity

Pukthuanthong, Kuntara; Thomas III, Lee R. - 2023

Book / Working Paper

Exchange Rate Uncertainty and the Interest Rate Parity

Fernández, Julián - 2023

This paper studies the effect of exchange rate uncertainty on the deviations of Covered Interest Rate parity. I develop a method for estimating the daily uncertainty via endogenous factor clustering to determine the currency grouping and an optimal number of groups and general factors explaining...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014258291

What Drives Central Bank Swap Lines Use?

Medlin, Aaron - 2023

Historically, currency swap lines between central banks were used to provide liquidity assistance to countries and as a means to influence exchange rates and offshore money market interest rates, such as the London interbank offered rate (LIBOR). Allen, Galati, Moessner, and Nelson (2017)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014347801

Purchasing Power Parity and Uncovered Interest Parity Revisited : Evidence From G7 Exchange Rates Using a Dynamic Joint Model

Babaei, Hamid - 2023

This paper investigates purchasing power parity (PPP) between the G7 member countries after the advent of the Euro currency. A dynamic joint model of PPP and uncovered interest parity (UIP) is introduced to decompose the real exchange rate (RER) into two components. Interest rate differential...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014349429

Deviations from Rational Expectations and the Uncovered Interest Rate Parity Puzzle

Mokanov, Denis - 2023

This paper documents a novel result regarding the uncovered interest rate parity (UIP) puzzle: investing in high interest rate currencies does not yield positive excess returns during recessions. That is, the UIP holds in bad times. This new finding is a challenge to existing rational...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014349896

Currency Risk Premiums : A Multi-horizon Perspective

Chernov, Mikhail; Dahlquist, Magnus - 2023

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014322805

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Currency risk premiums : a multi-horizon perspective

Chernov, Mikhail; Dahlquist, Magnus - 2023

Book / Working Paper

Currency Risk Premiums : A Multi-Horizon Perspective

Chernov, Mikhail; Dahlquist, Magnus - 2023

Book / Working Paper

Currency risk premiums : a multi-horizon perspective

Chernov, Mikhail; Dahlquist, Magnus - 2023

Book / Working Paper

4×4 Goal Parity

Golts, Maxim; Jones, Gregory C. - 2023

In the 4×4 Asset Allocation framework all assets and liabilities in any portfolio should be thought of as means contributing to the following four ends:• Liquidity maintenance: nominally safe and quickly accessible “cash-like” pool of assets,• Income generation: relatively regular,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014350305