| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26129 |
| 来源ID | Working Paper 26129 |
| Covered Interest Parity Deviations: Macrofinancial Determinants | |
| Eugenio M. Cerutti; Maurice Obstfeld; Haonan Zhou | |
| 发表日期 | 2019-08-05 |
| 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. Postcrisis 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 the 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 Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w26129 |
| 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/583803 |
| 推荐引用方式 GB/T 7714 | Eugenio M. Cerutti,Maurice Obstfeld,Haonan Zhou. Covered Interest Parity Deviations: Macrofinancial Determinants. 2019. |
| 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 | ||
| w26129.pdf（941KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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