| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14774 |
| DP14774 The term structure of CIP violations | |
| 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 show theoretically that persistent deviations from covered interest parity (CIP) across multiple horizons imply simultaneous arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the absence of observable riskless discount rates, we extract them empirically from interest rate swaps using a simple no-arbitrage framework. They deliver novel quantitative benchmarks that reconcile a zero cross-currency basis with non-zero cross-currency basis swap rates. We quantify that the no-arbitrage benchmark, which is consistent with intermediary-based asset pricing paradigms, accounts for about two thirds of the alleged CIP deviations. The residual pricing errors are associated with the limits-to-arbitrage framework. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Cip violations Negative swap rates Treasury basis Anomalies No-arbitrage Limits to arbitrage |
| URL | https://cepr.org/publications/dp14774-5 |
| 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/543702 |
| 推荐引用方式 GB/T 7714 | Patrick Augustin,Mikhail Chernov,Lukas Schmid,et al. DP14774 The term structure of CIP violations. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
