| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15569 |
| DP15569 Currency Mispricing and Dealer Balance Sheets | |
| Gino Cenedese; Pasquale Della Corte; Tianyu Wang | |
| 发表日期 | 2020-12-17 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique dataset of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the UK leverage ratio framework. Dealers that are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This finding holds even after controlling for changes in clients' demand. Also, some clients increase their trading activity with unaffected dealers with whom they already had a pre-existing relationship. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rates Dollar basis Covered interest parity condition Arbitrage opportunities |
| URL | https://cepr.org/publications/dp15569 |
| 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/544575 |
| 推荐引用方式 GB/T 7714 | Gino Cenedese,Pasquale Della Corte,Tianyu Wang. DP15569 Currency Mispricing and Dealer Balance Sheets. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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