IDEAS home Printed from https://ideas.repec.org/a/spr/weltar/v117y1981i2p262-275.html
   My bibliography  Save this article

Covered arbitrage margin and transaction costs

Author

Listed:
  • Philippe Callier

Abstract

No abstract is available for this item.

Suggested Citation

  • Philippe Callier, 1981. "Covered arbitrage margin and transaction costs," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 117(2), pages 262-275, June.
  • Handle: RePEc:spr:weltar:v:117:y:1981:i:2:p:262-275
    DOI: 10.1007/BF02696752
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02696752
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/BF02696752?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. S. C. Tsiang, 1959. "The Theory of Forward Exchange and Effects of Government Intervention on the Forward Exchange Market," IMF Staff Papers, Palgrave Macmillan, vol. 7(1), pages 75-106, April.
    2. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-338, April.
    3. McCallum, Bennett T, 1977. "The Role of Speculation in the Canadian Forward Exchange Market: Some Estimates Assuming Rational Expectations," The Review of Economics and Statistics, MIT Press, vol. 59(2), pages 145-151, May.
    4. Branson, William H, 1969. "The Minimum Covered Interest Differential Needed for International Arbitrage Activity," Journal of Political Economy, University of Chicago Press, vol. 77(6), pages 1028-1035, Nov./Dec..
    5. Allen, William A., 1977. "A note on uncertainty, transactions costs and interest parity," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 367-373, July.
    6. Officer, Lawrence H & Willett, Thomas D, 1970. "The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 2(2), pages 247-257, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Suh, Sangwon & Kim, Young Ju, 2016. "Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 161-176.

    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.
    1. José Saúl Lizondo, 1983. "Interest Differential and Covered Arbitrage," NBER Chapters, in: Financial Policies and the World Capital Market: The Problem of Latin American Countries, pages 221-244, National Bureau of Economic Research, Inc.
    2. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
    3. D. K. Ghosh, 1997. "Arbitrage with hedging by forward contracts: exploited and exploitable profits," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 349-361.
    4. Bazán, Walter & Ortiz, Marco & Terrones, Marco & Winkelried, Diego, 2023. "CIP deviations: The role of U.S. banks’ liquidity and regulations," MPRA Paper 118600, University Library of Munich, Germany.
    5. P. Chong, 1987. "Does Interest Parity Hold for Australia?," Economics Discussion / Working Papers 87-03, The University of Western Australia, Department of Economics.
    6. Esho, Neil & Sharpe, Ian G. & Webster, Kristian H., 2007. "Hedging and choice of currency denomination in international syndicated loan markets," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 195-212, April.
    7. Eijffinger, Sylvester C. W. & Huizinga, Harry P. & Lemmen, Jan J. G., 1998. "Short-term and long-term government debt and nonresident interest withholding taxes," Journal of Public Economics, Elsevier, vol. 68(3), pages 309-334, June.
    8. Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
    9. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the foreign exchange market: Turning on the microscope," Journal of International Economics, Elsevier, vol. 76(2), pages 237-253, December.
    10. Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
    11. Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2022. "Covered Interest Parity Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5185-5227.
    12. Alfred Wong & David Leung & Calvin Ng, 2016. "Risk-adjusted Covered Interest Parity: Theory and Evidence," Working Papers 162016, Hong Kong Institute for Monetary Research.
    13. Hsiou-Wei Lin & Yun Chiang Tai, 2009. "A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1223-1237.
    14. Casas, F. R., 1983. "Stabilité des marchés de change au comptant et à terme : une approche d’équilibre simultané," L'Actualité Economique, Société Canadienne de Science Economique, vol. 59(2), pages 240-265, juin.
    15. Pasricha, Gurnain, 2007. "Financial Integration in Emerging Market Economies," MPRA Paper 5278, University Library of Munich, Germany.
    16. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
    17. Ghosh, Dilip K. & Arize, Augustine & Ghosh, Dipasri, 2015. "Trades in commodities, financial assets, and currencies: A triangle of arbitrage, hedging and speculative designs," Global Finance Journal, Elsevier, vol. 28(C), pages 1-9.
    18. Battilossi, Stefano, 2009. "The Eurodollar revolution in financial technology. Deregulation, innovation and structural change in Western banking in the 1960s-70s," IFCS - Working Papers in Economic History.WH wp09-10, Universidad Carlos III de Madrid. Instituto Figuerola.
    19. Alfred Wong & David Leung & Calvin Ng, 2016. "How do housing purchase limits affect firm default risks in Mainland China?," Working Papers 172016, Hong Kong Institute for Monetary Research.
    20. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:spr:weltar:v:117:y:1981:i:2:p:262-275. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.