FX counterparty risk and trading activity in currency forward and futures markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.rfe.2012.06.004
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Niall Coffey & Warren B. Hrung & Asani Sarkar, 2009. "Capital constraints, counterparty risk, and deviations from covered interest rate parity," Staff Reports 393, Federal Reserve Bank of New York.
- Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
- Andrew W. Lo, 2012. "Reading about the Financial Crisis: A Twenty-One-Book Review," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 151-178, March.
- Baba, Naohiko & Packer, Frank, 2009.
"Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08,"
Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
- Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Liao, Gordon Y., 2020.
"Credit migration and covered interest rate parity,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
- Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
- Gordon Y. Liao, 2019. "Credit Migration and Covered Interest Rate Parity," International Finance Discussion Papers 1255, Board of Governors of the Federal Reserve System (U.S.).
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024.
"The Term Structure of Covered Interest Rate Parity Violations,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
- Vladyslav Sushko & Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2016. "The failure of covered interest parity: FX hedging demand and costly balance sheets," BIS Working Papers 590, Bank for International Settlements.
- Hernández, Juan R., 2020.
"Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band,"
MPRA Paper
100744, University Library of Munich, Germany.
- Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
- Victoria Ivashina & David S. Scharfstein & Jeremy C. Stein, 2012.
"Dollar Funding and the Lending Behavior of Global Banks,"
NBER Working Papers
18528, National Bureau of Economic Research, Inc.
- Victoria Ivashina & David Scharfstein & Jeremy C. Stein, 2012. "Dollar funding and the lending behavior of global banks," Finance and Economics Discussion Series 2012-74, Board of Governors of the Federal Reserve System (U.S.).
- Xue Jiang & Liyan Han & Libo Yin, 2019. "Can skewness of the futures‐spot basis predict currency spot returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1435-1449, November.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021.
"Asymmetric information risk in FX markets,"
Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
- Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Kuga Iakov & Elena Kuzmina, 2016. "Covered interest parity: evidence from Russian money market," EERC Working Paper Series 16/01e, EERC Research Network, Russia and CIS.
- Claudio Borio & Robert Neil McCauley & Patrick McGuire & Vladyslav Sushko, 2016. "Covered interest parity lost: understanding the cross-currency basis," BIS Quarterly Review, Bank for International Settlements, September.
- Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
- Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Richard M. Levich, 2012. "FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets," NBER Working Papers 18256, National Bureau of Economic Research, Inc.
- Richard M. Levich, 2012. "FX counterparty risk and trading activity in currency forward and futures markets," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 102-110, September.
- Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2020.
"From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
- Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2019. "From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps," Working Papers in Economics & Finance 2019-05, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013.
"The market microstructure approach to foreign exchange: Looking back and looking forward,"
Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- Jose E. Gomez-Gonzalez & Santiago Gomez-Malagon & Luis F. Melo-Velandia & Daniel Ordoñez-Callamand, 2020.
"A rank approach for studying cross-currency bases and the covered interest rate parity,"
Empirical Economics, Springer, vol. 59(1), pages 357-369, July.
- Daniel Ordoñez-Callamand & Jose Eduardo Gomez-Gonzalez & Santiago Gomez-Malagon & Luis Fernando Melo-Velandia, 2017. "A rank approach for studying cross-currency bases and the covered interest rate parity," Borradores de Economia 994, Banco de la Republica de Colombia.
- Fukuda, Shin-ichi & Tanaka, Mariko, 2017.
"Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar,"
Journal of International Money and Finance, Elsevier, vol. 74(C), pages 301-317.
- Shin-ichi Fukuda & Mariko Tanaka, 2016. "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from the Australian Dollar and the NZ Dollar," CIRJE F-Series CIRJE-F-1032, CIRJE, Faculty of Economics, University of Tokyo.
- Shin-ichi Fukuda & Mariko Tanaka, 2016. "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar," CARF F-Series CARF-F-401, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Nagayasu, Jun, 2014.
"The forward premium puzzle and the Euro,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 436-451.
- Jun, Nagayasu, 2013. "The Forward Premium Puzzle and The Euro," SIRE Discussion Papers 2013-65, Scottish Institute for Research in Economics (SIRE).
- Jun Nagayasu, 2013. "The forward premium puzzle and the euro," Working Papers 1317, University of Strathclyde Business School, Department of Economics.
- Nagayasu, Jun, 2013. "The Forward Premium Puzzle And The Euro," MPRA Paper 45746, University Library of Munich, Germany.
- Shin-ichi Fukuda, 2016.
"Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York,"
International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 339-359, July.
- Shin-ichi Fukuda, 2016. "Regional Liquidity Risk and Covered Interest Parity during the Global Financial Crisis: Evidence from Tokyo, London, and New York ," CIRJE F-Series CIRJE-F-1017, CIRJE, Faculty of Economics, University of Tokyo.
- Alfred Wong & Jiayue Zhang, 2018. "Breakdown of covered interest parity: mystery or myth?," BIS Papers chapters, in: Bank for International Settlements (ed.), The price, real and financial effects of exchange rates, volume 96, pages 57-78, Bank for International Settlements.
- Fukuda, Shin-ichi, 2016.
"Strong sterling pound and weak European currencies in the crises: Evidence from covered interest parity of secured rates,"
Journal of the Japanese and International Economies, Elsevier, vol. 42(C), pages 109-122.
- Shin-ichi Fukuda, 2015. "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Chapters, in: International Finance in the Global Markets, National Bureau of Economic Research, Inc.
- Shin-ichi Fukuda, 2016. "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Working Papers 21938, National Bureau of Economic Research, Inc.
- Stijn Claessens & M Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: a survey,"
BIS Working Papers
676, Bank for International Settlements.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Corradin, Stefano & Rodriguez-Moreno, Maria, 2016. "Violating the law of one price: the role of non-conventional monetary policy," Working Paper Series 1927, European Central Bank.
- Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
- Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
- Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
- Choi, Hanbok & Eom, Young Ho & Jang, Woon Wook & Kim, Don H., 2017. "Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 47-63.
- Bank for International Settlements, 2010. "The functioning and resilience of cross-border funding markets," CGFS Papers, Bank for International Settlements, number 37, december.
- Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
More about this item
Keywords
Counterparty risk; Currency forwards; Currency futures; Central counterparty; CLS Bank;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:revfin:v:21:y:2012:i:3:p:102-110. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620170 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.