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Covered interest parity lost: understanding the cross-currency basis

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Rewriting the textbook: covered interest parity
    by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2016-10-17 17:50:11

Citations

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Cited by:

  1. Bahaj, Saleem & Reis, Ricardo, 2018. "Central Bank Swap Lines," Bank of England working papers 741, Bank of England.
  2. Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  3. Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
  4. McCauley, Robert N. & Bénétrix, Agustín S. & McGuire, Patrick M. & von Peter, Goetz, 2019. "Financial deglobalisation in banking?," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 116-131.
  5. Falk Bräuning & Victoria Ivashina, 2020. "Monetary Policy and Global Banking," Journal of Finance, American Finance Association, vol. 75(6), pages 3055-3095, December.
  6. Clifford Paul Hallwood, 2021. "Correcting US payments imbalances: Taxing foreign holders of its treasury securities is better than import tariffs," The World Economy, Wiley Blackwell, vol. 44(8), pages 2228-2237, August.
  7. Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017. "Segmented money markets and covered interest parity arbitrage," BIS Working Papers 651, Bank for International Settlements.
  8. Gino Cenedese & Pasquale Della Corte & Tianyu Wang, 2021. "Currency Mispricing and Dealer Balance Sheets," Journal of Finance, American Finance Association, vol. 76(6), pages 2763-2803, December.
  9. Bank for International Settlements, 2020. "US dollar funding: an international perspective," CGFS Papers, Bank for International Settlements, number 65, October –.
  10. Takahiro Hattori, 2017. "Does swap-covered interest parity hold in long-term capital markets after the financial crisis?," Discussion papers ron293, Policy Research Institute, Ministry of Finance Japan.
  11. Ricardo J. Caballero & Alp Simsek, 2020. "A Model of Fickle Capital Flows and Retrenchment," Journal of Political Economy, University of Chicago Press, vol. 128(6), pages 2288-2328.
  12. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2024. "The forward premium anomaly and the currency carry trade hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 203-218.
  13. Salih Fendoğlu & Eda Gülşen & José-Luis Peydró, 2019. "Global liquidity and impairment of local monetary policy," Economics Working Papers 1680, Department of Economics and Business, Universitat Pompeu Fabra.
  14. Pēteris Kloks & Patrick McGuire & Angelo Ranaldo & Vladyslav Sushko, 2023. "Bank positions in FX swaps: insights from CLS," BIS Quarterly Review, Bank for International Settlements, September.
  15. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, October –.
  16. Fabiani, Andrea & López-Piñeros, Martha & Peydró, José-Luis & Soto, Paul E., 2022. "Capital Controls, Domestic Macroprudential Policy and the Bank Lending Channel of Monetary Policy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 139(November ), pages 1-1.
  17. Alexis Stenfors, 2019. "The Covered Interest Parity Puzzle and the Evolution of the Japan Premium," Journal of Economic Issues, Taylor & Francis Journals, vol. 53(2), pages 417-424, April.
  18. Gustavo Adler & Carolina Osorio Buitron, 2020. "Tipping the scale? The workings of monetary policy through trade," Review of International Economics, Wiley Blackwell, vol. 28(3), pages 744-759, August.
  19. Hattori, Takahiro, 2022. "Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 224-240.
  20. 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.
  21. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  22. Abakah, Emmanuel Joel Aikins & Brahim, Mariem & Carlotti, Jean-Etienne & Tiwari, Aviral Kumar & Mensi, Walid, 2024. "Extreme downside risk connectedness and portfolio hedging among the G10 currencies," International Economics, Elsevier, vol. 178(C).
  23. Robert N. McCauley, 2020. "The Global Domain of the Dollar: Eight Questions," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(4), pages 421-429, December.
  24. Gee Hee Hong & Anne Oeking & Kenneth H. Kang & Changyong Rhee, 2021. "What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia?," Open Economies Review, Springer, vol. 32(2), pages 361-394, April.
  25. Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.
  26. Lilian Muchimba, 2022. "Connectedness of money market instruments: A time-varying vector autoregression approach," Working Papers in Economics & Finance 2022-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  27. Alyssa G. Anderson & Wenxin Du & Bernd Schlusche, 2021. "Arbitrage Capital of Global Banks," Finance and Economics Discussion Series 2021-032, Board of Governors of the Federal Reserve System (U.S.).
  28. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
  29. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
  30. Andrea Mantovi, 2018. "The monetary dimension of arbitrage. A brief note," Working Paper series 18-27, Rimini Centre for Economic Analysis, revised Oct 2018.
  31. Nicole Aregger & Jessica Leutert, 2023. "Countering Appreciation Pressure with Unconventional Monetary Policy: The Role of Financial Frictions," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 251-337, October.
  32. 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.
  33. Signe Krogstrup & Cédric Tille, 2018. "Foreign Currency Bank Funding and Global Factors," IHEID Working Papers 09-2018, Economics Section, The Graduate Institute of International Studies.
  34. Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
  35. Claudio Borio & Robert N McCauley & Patrick McGuire, 2022. "Dollar debt in FX swaps and forwards: huge, missing and growing," BIS Quarterly Review, Bank for International Settlements, December.
  36. Anne-Charlotte Paret & Miss Anke Weber, 2019. "German Bond Yields and Debt Supply: Is There a “Bund Premium”?," IMF Working Papers 2019/235, International Monetary Fund.
  37. Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon, 2017. "Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study," Borradores de Economia 1009, Banco de la Republica de Colombia.
  38. Schmidt, Julia & Caccavaio, Marianna & Carpinelli, Luisa & Marinelli, Giuseppe, 2018. "International spillovers of monetary policy: Evidence from France and Italy," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 50-66.
  39. Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
  40. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2023. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," Journal of Finance, American Finance Association, vol. 78(1), pages 301-345, February.
  41. Jeong Eui Suh, 2020. "An Economic Thought about How to Detect Currency Manipulation," Economics Bulletin, AccessEcon, vol. 40(2), pages 1486-1497.
  42. 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.
  43. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
  44. Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
  45. Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022. "The New Fama Puzzle," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 451-486, September.
  46. Brophy, Thomas & Herrala, Niko & Jurado, Raquel & Katsalirou, Irene & Le Quéau, Léa & Lizarazo, Christian & O’Donnell, Seamus, 2019. "Role of cross currency swap markets in funding and investment decisions," Occasional Paper Series 228, European Central Bank.
  47. Martha López-Piñeros & Norberto Rodríguez-Niño & Miguel Sarmiento, 2022. "Monetary Policy and Portfolio Flows in an Emerging Market Economy," Borradores de Economia 1200, Banco de la Republica de Colombia.
  48. Saleem Bahaj & Ricardo Reis, 2022. "Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(4), pages 1654-1693.
  49. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
  50. Nariman, Farhad & Heshmati, Almas, 2022. "Are Entrepreneurs Aware of Covered Interest Parity and Dollar Shortage?," IZA Discussion Papers 15216, Institute of Labor Economics (IZA).
  51. Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
  52. Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90, October –.
  53. 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.
  54. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
  55. Iñaki Aldasoro & Perry Mehrling & IDaniel H. Neilson, 2023. "On par: A Money View of stablecoins," BIS Working Papers 1146, Bank for International Settlements.
  56. 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.
  57. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2023. "Deviations from covered interest parity in the emerging markets after the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  58. McGuire, Patrick, 2022. "FX swaps and forwards in global dollar debt: “Known knowns” and “known unknowns”," Japan and the World Economy, Elsevier, vol. 64(C).
  59. Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
  60. 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.
  61. Stefan Avdjiev & Egemen Eren & Patrick McGuire, 2020. "Dollar funding costs during the Covid-19 crisis through the lens of the FX swap market," BIS Bulletins 1, Bank for International Settlements.
  62. Gomez-Gonzalez, Jose E. & Hirs-Garzon, Jorge & Gamboa-Arbelaez, Juliana, 2020. "Dynamic relations between oil and stock market returns: A multi-country study," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  63. Enrique Esteban García-Escudero & Elisa J. Sánchez Pérez, 2020. "Los swaps de divisas entre bancos centrales," Occasional Papers 2025, Banco de España.
  64. Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
  65. Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2017. "FX swaps and forwards: missing global debt?," BIS Quarterly Review, Bank for International Settlements, September.
  66. Han, Bo, 2022. "Currency denomination and borrowing cost: Evidence from global bonds," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
  67. Andreas Schrimpf & Vladyslav Sushko, 2019. "Sizing up global foreign exchange markets," BIS Quarterly Review, Bank for International Settlements, December.
  68. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
  69. 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.
  70. Stefan Angrick & Naoko Nemoto, 2017. "Central banking below zero: the implementation of negative interest rates in Europe and Japan," Asia Europe Journal, Springer, vol. 15(4), pages 417-443, December.
  71. Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  72. repec:wsr:wpaper:y:2018:i:182 is not listed on IDEAS
  73. Stefan Avdjiev & Wenxin Du & Cathérine Koch & Hyun Song Shin, 2019. "The Dollar, Bank Leverage, and Deviations from Covered Interest Parity," American Economic Review: Insights, American Economic Association, vol. 1(2), pages 193-208, September.
  74. Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.
  75. Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
  76. Mayu Kikuchi & Alfred Wong & Jiayue Zhang, 2019. "Risk of window dressing: quarter-end spikes in the Japanese yen Libor-OIS spread," Journal of Regulatory Economics, Springer, vol. 56(2), pages 149-166, December.
  77. Yannis Dafermos & Daniela Gabor & Jo Michell, 2023. "FX swaps, shadow banks and the global dollar footprint," Environment and Planning A, , vol. 55(4), pages 949-968, June.
  78. Potì, Valerio & Levich, Richard & Conlon, Thomas, 2020. "Predictability and pricing efficiency in forward and spot, developed and emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
  79. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  80. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
  81. Lawrence L Kreicher & Robert Neil McCauley & Philip Wooldridge, 2017. "The bond benchmark continues to tip to swaps," BIS Quarterly Review, Bank for International Settlements, March.
  82. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
  83. Belinda Cheung & Sebastien Printant, 2019. "Australian Money Market Divergence: Arbitrage Opportunity or Illusion?," RBA Research Discussion Papers rdp2019-09, Reserve Bank of Australia.
  84. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
  85. Daniel Kohler & Benjamin Müller, 2019. "Covered interest rate parity, relative funding liquidity and cross-currency repos," Working Papers 2019-05, Swiss National Bank.
  86. Enrique Esteban García-Escudero & Elisa J. Sánchez Pérez, 2020. "Central bank currency swap lines," Occasional Papers 2025, Banco de España.
  87. 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).
  88. Stefan Avdjiev & Mary Everett & Hyun Song Shin, 2019. "Following the imprint of the ECB's asset purchase programme on global bond and deposit flows," BIS Quarterly Review, Bank for International Settlements, March.
  89. Albi Tola & Miriam Koomen & Amalia Repele, 2020. "Deviations from covered interest rate parity and capital outflows: The case of Switzerland," Working Papers 2020-08, Swiss National Bank.
  90. Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
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