| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6852 |
| DP6852 Are Risk Aversion and Impatience Related to Cognitive Ability? | |
| Armin Falk; Thomas J Dohmen; Uwe Sunde; David Huffman | |
| 发表日期 | 2008-06-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency. The analysis unveils that: i) short-lived violations of CIP arise; ii) the size of CIP violations can be economically significant; iii) their duration is, on average, high enough to allow agents to exploit them, but low enough to explain why such opportunities have gone undetected in much previous research using data at lower frequency. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Arbitrage Covered interest rate parity Exchange rates Foreign exchange microstructure |
| URL | https://cepr.org/publications/dp6852 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535717 |
| 推荐引用方式 GB/T 7714 | Armin Falk,Thomas J Dohmen,Uwe Sunde,et al. DP6852 Are Risk Aversion and Impatience Related to Cognitive Ability?. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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