| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27231 |
| 来源ID | Working Paper 27231 |
| The term structure of CIP violations | |
| Patrick Augustin; Mikhail Chernov; Lukas Schmid; Dongho Song | |
| 发表日期 | 2020-05-25 |
| 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 | Econometrics ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w27231 |
| 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/584903 |
| 推荐引用方式 GB/T 7714 | Patrick Augustin,Mikhail Chernov,Lukas Schmid,et al. The term structure of CIP violations. 2020. |
| 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 | ||
| w27231.pdf（1067KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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