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Covered Interest Parity Lost Understanding The Cross-Currency Basis by hyw961022 is a document available to read on EtoBox.
What is Covered Interest Parity Lost Understanding The Cross-Currency Basis about?
The document discusses the persistent violations of Covered Interest Parity (CIP) since the Great Financial Crisis, particularly highlighting the cross-currency basis that indicates these violations. It proposes a framework that attributes these discrepancies to increased demand for hedging and tighter limits on arbitrage due to risk management practices and balance sheet constraints. Empirical evidence supports this framework, suggesting that CIP deviations may continue even during non-crisis periods as lo
- Author
- hyw961022
- Language
- EN