G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13637
DP13637 Covered Interest Parity Arbitrage
Dagfinn Rime; Paul Schrimpf; Olav Syrstad
发表日期2019-03-30
出版年2019
语种英语
摘要We show that it is crucial to account for the heterogeneity in funding costs, both across banks and across currency areas, in order to understand recently documented deviations from Covered Interest Parity (CIP). When CIP arbitrage is implemented accounting for marginal funding costs and realistic risk-free investment instruments, the no-arbitrage relation holds fairly well for the majority of market participants. A narrow set of global high-rated banks, however, does enjoy riskless arbitrage opportunities. Such arbitrage opportunities emerge as an equilibrium outcome as FX swap dealers set prices to avoid inventory imbalances. Low-rated banks find it attractive to turn to the FX swap market to cover their U.S. dollar funding, while swap dealers elicit opposite (arbitrage) flows by high-rated banks. Such arbitrage opportunities are difficult to scale, with funding rates adjusting as soon as arbitrageurs increase their positions.
主题Financial Economics ; International Macroeconomics and Finance
关键词Covered interest parity U.s. dollar funding Funding liquidity premia Fx swap market
URLhttps://cepr.org/publications/dp13637
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/542496
推荐引用方式
GB/T 7714
Dagfinn Rime,Paul Schrimpf,Olav Syrstad. DP13637 Covered Interest Parity Arbitrage. 2019.
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