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Working Paper 2019 05.n by Zain Masood is a document available to read on EtoBox.

What is Working Paper 2019 05.n about?

This paper examines covered interest rate parity (CIP) and argues that deviations from CIP can be minimized by using cross-currency repo rates instead of traditional interest rates. The authors suggest that cross-currency repos reflect relative funding liquidity conditions and allow for riskless arbitrage opportunities, unlike other rates which are affected by counterparty credit risk. The findings have implications for regulators, suggesting that FX swaps and cross-currency repos should be treated similarl

Author

Zain Masood

Language

EN