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Abweichungen von der gedeckten Zinsparität: Erklärung anhand der Euro-/US-Dollar-Basis
[Deviations from the Covered Interest Rate Parity: The Case of the Euro/US Dollar Basis]

Author

Listed:
  • Jonas Schlegel

    (Ludwig-Maximilians-Universität München)

  • Patrick Weiß

Abstract

Zusammenfassung Die gedeckte Zinsparität gilt als eine der am weitesten verbreiteten Theorien auf den internationalen Finanzmärkten. Sie bildet aufgrund von Arbitrageüberlegungen einen Zusammenhang zwischen der Zinsdifferenz zweier Länder und der erwarteten Wechselkursveränderung. Bis zum Ausbruch der Finanzkrise besaß diese Theorie fortlaufend Gültigkeit. Seitdem sind teils starke Abweichungen erkennbar, die in Krisenzeiten relativ einfach zu erklären sind. Allerdings stellt die persistente Abweichung seit 2014 die Wissenschaft vor Herausforderungen. Eine detaillierte Analyse der gegenwärtigen internationalen Finanzstrukturen soll Abweichungen von der gedeckten Zinsparität anhand der Euro-/US-Dollar-Basis untersuchen. Im Ergebnis können die persistenten Abweichungen unter anderem durch eine einseitige Hedging-Nachfrage, Regulierungskosten und Liquiditätsprämien erklärt werden.

Suggested Citation

  • Jonas Schlegel & Patrick Weiß, 2017. "Abweichungen von der gedeckten Zinsparität: Erklärung anhand der Euro-/US-Dollar-Basis [Deviations from the Covered Interest Rate Parity: The Case of the Euro/US Dollar Basis]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 97(10), pages 741-747, October.
    • Handle: RePEc:spr:wirtsc:v:97:y:2017:i:10:d:10.1007_s10273-017-2207-1
    DOI: 10.1007/s10273-017-2207-1
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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