| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13886 |
| DP13886 Covered Interest Parity Deviations: Macrofinancial Determinants | |
| Eugenio Cerutti; Maurice Obstfeld; Haonan Zhou | |
| 发表日期 | 2019-07-22 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper studies how several macrofinancial factors are associated over time with the evolution of covered interest parity (CIP) deviations in the decade after the Global Financial Crisis. Changes in a number of risk- and policy-related factors have a significant association with the evolution of CIP deviations. Key measures of FX market liquidity and intermediaries' risk-taking capacity are strongly correlated with the cross-currency basis (the deviation from CIP), and the close relationship between broad U.S. dollar strength and the basis is driven mainly by a common factor depending on other safe-haven currencies' comovements. Post-crisis monetary policies also play a role, as demonstrated by the relationship between CIP deviations, central bank balance sheets, and term premia. Risk-related factors have more explanatory power than monetary policy-related factors over the entire 2010-2018 period, but they are approximately equally influential over that period's second half. Further highlighting the role of bank regulation, we offer evidence that the year-end dynamics of the three-month dollar basis depend on financial regulations targeting global systemically important financial institutions. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Covered interest parity Interest rate differentials Forward fx market |
| URL | https://cepr.org/publications/dp13886-0 |
| 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/542762 |
| 推荐引用方式 GB/T 7714 | Eugenio Cerutti,Maurice Obstfeld,Haonan Zhou. DP13886 Covered Interest Parity Deviations: Macrofinancial Determinants. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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