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The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage

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  • Nadav Ben Zeev

    (BGU)

  • Daniel Nathan

    (University of Pennsylvania and Bank of Israel)

Abstract

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Suggested Citation

  • Nadav Ben Zeev & Daniel Nathan, 2023. "The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage," Working Papers 2316, Ben-Gurion University of the Negev, Department of Economics.
    • Handle: RePEc:bgu:wpaper:2316
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    File URL: http://in.bgu.ac.il/en/humsos/Econ/Workingpapers/2316.pdf
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    Cited by:

    1. Nathan, Daniel & Ben Zeev, Nadav, 2022. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," MPRA Paper 112909, University Library of Munich, Germany.

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    More about this item

    Keywords

    LOA-Dependent FX Swap Demand Channel; Cross-Currency Basis; Limits of Arbi- trage; Granular Instrumental Variable; Bartik Instrument; Open FX Swap Position; Institutional Investors; Bayesian State-Dependent Local Projections.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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