Analysing Cross-Currency Basis Spreads
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Cited by:
- Ibhagui, Oyakhilome, 2019. "Eurozone Real Output and Covered Interest Parity Deviations: Can Stronger Real Output Lessen the Deviations?," MPRA Paper 92305, University Library of Munich, Germany, revised 20 Feb 2019.
- Oyakhilome Ibhagui, 2021.
"Inflation differential as a driver of cross-currency basis swap spreads,"
The European Journal of Finance, Taylor & Francis Journals, vol. 27(6), pages 510-536, April.
- Ibhagui, Oyakhilome, 2020. "Inflation Differential as a Driver of Cross-currency Basis Swap Spreads," MPRA Paper 100948, University Library of Munich, Germany.
- Ibhagui, Oyakhilome, 2018. "The Monetary Model of CIP Deviations," MPRA Paper 89641, University Library of Munich, Germany.
- Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Sevgi Coşkun & Oyakhilome Ibhagui, 2022. "Technology shocks and covered interest parity deviations in emerging market economies," Empirical Economics, Springer, vol. 63(3), pages 1337-1374, September.
- Heidorn, Thomas & Mamadalizoda, Nekruz, 2019. "Investigating the cross currency basis in EURUSD and EURGBP," Frankfurt School - Working Paper Series 227, Frankfurt School of Finance and Management.
- Ibhagui, Oyakhilome, 2018. "Interrelations among cross-currency basis swap spreads: Pre-and post-crisis analysis," MPRA Paper 89024, University Library of Munich, Germany.
- Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
- Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.
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More about this item
Keywords
Cross-currency swap; basis spread; overnight indexed swap; cointegration; arbitrage;All these keywords.
JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G01 - Financial Economics - - General - - - Financial Crises
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MON-2017-07-30 (Monetary Economics)
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