| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14774 |
| DP14774 A no-arbitrage perspective on global arbitrage opportunities | |
| Patrick Augustin; Mikhail Chernov; Lukas Schmid; Dongho Song | |
| 发表日期 | 2020-05-18 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We revisit the recent literature on persistent deviations from covered interest parity (CIP) by showing theoretically that CIP violations imply arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the absence of observable riskless discount rates, we extract them empirically using a simple no-arbitrage framework. They deliver novel quantitative benchmarks for foreign exchange contracts that match observed forward currency premiums and cross-currency basis swap rates well. The no-arbitrage benchmarks account for about two thirds of the alleged CIP deviations, while the residual pricing errors line up with measures of intermediary constraints and the expensiveness of the U.S. dollar. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Cip violations Negative swap rates Treasury basis Anomalies No- arbitrage |
| URL | https://cepr.org/publications/dp14774-3 |
| 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/543701 |
| 推荐引用方式 GB/T 7714 | Patrick Augustin,Mikhail Chernov,Lukas Schmid,et al. DP14774 A no-arbitrage perspective on global arbitrage opportunities. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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