G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w26129
来源IDWorking 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
URLhttps://www.nber.org/papers/w26129
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/583803
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Eugenio M. Cerutti,Maurice Obstfeld,Haonan Zhou. Covered Interest Parity Deviations: Macrofinancial Determinants. 2019.
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