| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23170 |
| 来源ID | Working Paper 23170 |
| Deviations from Covered Interest Rate Parity | |
| Wenxin Du; Alexander Tepper; Adrien Verdelhan | |
| 发表日期 | 2017-02-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We find that deviations from the covered interest rate parity condition (CIP) imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk or transaction costs. They are particularly strong for forward contracts that appear on the banks' balance sheets at the end of the quarter, pointing to a causal effect of banking regulation on asset prices. The CIP deviations also appear significantly correlated with other fixed-income spreads and with nominal interest rates. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23170 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580843 |
| 推荐引用方式 GB/T 7714 | Wenxin Du,Alexander Tepper,Adrien Verdelhan. Deviations from Covered Interest Rate Parity. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23170.pdf（3248KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
