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Deviations from Covered Interest Rate Parity

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Central Bank to the World: Supplying Dollars in the COVID Crisis
    by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2020-05-03 17:16:37

Citations

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Cited by:

  1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
  2. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2020. "International Currencies and Capital Allocation," Journal of Political Economy, University of Chicago Press, vol. 128(6), pages 2019-2066.
  3. Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021. "Covered interest parity deviations: Macrofinancial determinants," Journal of International Economics, Elsevier, vol. 130(C).
  4. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
  5. Saleem Bahaj & Ricardo Reis, 2018. "Central Bank Swap Lines," Discussion Papers 1816, Centre for Macroeconomics (CFM).
  6. Jason Allen & Ali Hortaçsu & Eric Richert & Milena Wittwer, 2024. "Entry and Exit in Treasury Auctions," Staff Working Papers 24-29, Bank of Canada.
  7. Goldberg, Linda S. & Krogstrup, Signe, 2023. "International capital flow pressures and global factors," Journal of International Economics, Elsevier, vol. 146(C).
  8. Chase P. Ross, 2022. "The Collateral Premium and Levered Safe-Asset Production," Finance and Economics Discussion Series 2022-046, Board of Governors of the Federal Reserve System (U.S.).
  9. Constantin Bürgi & Mengdi Song, 2024. "Do Professional Forecasters Follow Uncovered Interest Rate Parity?," CESifo Working Paper Series 11338, CESifo.
  10. Nelson R. Ramírez-Rondán & Marco E. Terrones, 2024. "Uncertainty and the uncovered interest parity condition: How are they related?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(4), pages 1505-1542, November.
  11. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
  12. Mody, Ashoka & Nedeljkovic, Milan, 2024. "Central bank policies and financial markets: Lessons from the euro crisis," Journal of Banking & Finance, Elsevier, vol. 158(C).
  13. Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin, 2022. "Nonlinear limits to arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1084-1113, June.
  14. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
  15. Milan Nedeljkovic & Christian Saborowski, 2019. "The Relative Effectiveness of Spot and Derivatives‐Based Intervention," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1455-1490, September.
  16. Varela, Liliana & Alfaro, Laura & Calani, Mauricio, 2021. "Granular Corporate Hedging Under Dominant Currency," CEPR Discussion Papers 16232, C.E.P.R. Discussion Papers.
  17. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-Intermediated Arbitrage," Liberty Street Economics 20181018, Federal Reserve Bank of New York.
  18. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
  19. Luca Dedola & Georgios Georgiadis & Johannes Gräb & Arnaud Mehl, 2018. "Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates," GRU Working Paper Series GRU_2018_024, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  20. Niepmann, Friederike & Schmidt-Eisenlohr, Tim, 2023. "Institutional investors, the dollar, and U.S. credit conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 198-220.
  21. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
  22. Cimon, David & Garriott, Corey, 2019. "Banking regulation and market making," Journal of Banking & Finance, Elsevier, vol. 109(C).
  23. John M. Griffin & Amin Shams, 2020. "Is Bitcoin Really Untethered?," Journal of Finance, American Finance Association, vol. 75(4), pages 1913-1964, August.
  24. Sven Klingler & Olav Syrstad, 2021. "Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers," Working Paper 2021/16, Norges Bank.
  25. Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
  26. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  27. Ferrara, Gerardo & Mueller, Philippe & Viswanath-Natraj, Ganesh & Wang, Junxuan, 2022. "Central bank swap lines: micro-level evidence," Bank of England working papers 977, Bank of England.
  28. Bryan Hardy & Felipe Saffie, 2019. "From carry trades to trade credit: financial intermediation by non-financial corporations," BIS Working Papers 773, Bank for International Settlements.
  29. 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.
  30. Hattori, Takahiro, 2021. "Noise as a liquidity measure: Evidence from the JGB market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  31. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  32. Rhys Bidder & John Krainer & Adam Shapiro, 2021. "De-leveraging or de-risking? How banks cope with loss," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 100-127, January.
  33. Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
  34. Oleg Itskhoki, 2021. "The Story of the Real Exchange Rate," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 423-455, August.
  35. 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.
  36. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
  37. Wenxin Du & Benjamin Hébert & Amy Wang Huber & Stefano Giglio, 2023. "Are Intermediary Constraints Priced?," The Review of Financial Studies, Society for Financial Studies, vol. 36(4), pages 1464-1507.
  38. Bassi, Claudio & Behn, Markus & Grill, Michael & Waibel, Martin, 2024. "Window dressing of regulatory metrics: Evidence from repo markets," Journal of Financial Intermediation, Elsevier, vol. 58(C).
  39. Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series 2024-061, Board of Governors of the Federal Reserve System (U.S.).
  40. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
  41. Leif Andersen & Darrell Duffie & Yang Song, 2019. "Funding Value Adjustments," Journal of Finance, American Finance Association, vol. 74(1), pages 145-192, February.
  42. Van Horen, Neeltje & Kotidis, Antonis, 2018. "Repo market functioning: the role of capital regulation," Bank of England working papers 746, Bank of England.
  43. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
  44. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
  45. 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.
  46. Cesa-Bianchi, Ambrogio & Eguren-Martin, Fernando, 2021. "Dash for dollars," Bank of England working papers 932, Bank of England.
  47. Songrun He & Asaf Manela & Omri Ross & Victor von Wachter, 2022. "Fundamentals of Perpetual Futures," Papers 2212.06888, arXiv.org, revised Aug 2024.
  48. Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.
  49. Erkko Etula & Kalle Rinne & Matti Suominen & Lauri Vaittinen, 2020. "Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 75-111.
  50. Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Paul E. Soto, 2020. "Stressed banks? Evidence from the largest-ever supervisory review," Economics Working Papers 1721, Department of Economics and Business, Universitat Pompeu Fabra.
  51. 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.).
  52. Mykola Babiak & Jozef Barunik, 2021. "Currency Network Risk," Papers 2101.09738, arXiv.org, revised Jul 2021.
  53. Rajnish Mehra & John Donaldson & Christos Koulovatianos & Jian Li, 2018. "Demographics and FDI: Lessons from China’s One-Child Policy," NCAER Working Papers 112, National Council of Applied Economic Research.
  54. Sandri, Damiano, 2023. "FX intervention to stabilize or manipulate the exchange rate? Inference from profitability," Journal of International Money and Finance, Elsevier, vol. 131(C).
  55. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  56. 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.
  57. Rita Biswas & Louis R. Piccotti & Ben Z. Schreiber, 2021. "Differential risk premiums and the UIP puzzle," Financial Management, Financial Management Association International, vol. 50(1), pages 139-167, March.
  58. Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
  59. Juliana Salomao & Liliana Varela, 2022. "Exchange Rate Exposure and Firm Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 481-514.
  60. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
  61. Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
  62. Markus Hertrich & Daniel Nathan, 2022. "Foreign Exchange Interventions and their Impact on Expectations: Evidence from the USD/ILS Options Market," Bank of Israel Working Papers 2022.10, Bank of Israel.
  63. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
  64. Leif Andersen & Darrell Duffie & Yang Song, 2019. "Funding Value Adjustments," Journal of Finance, American Finance Association, vol. 74(1), pages 145-192, February.
  65. Albuquerque, Rui & Costa, José & Faias, Jose, 2022. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," CEPR Discussion Papers 17095, C.E.P.R. Discussion Papers.
  66. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
  67. Ryan Chahrour & Vito Cormun & Pierre De Leo & Pablo Guerron-Quintana & Rosen Valchev, 2021. "Exchange Rate Disconnect Revisited," Boston College Working Papers in Economics 1041, Boston College Department of Economics, revised 12 May 2023.
  68. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," CESifo Working Paper Series 7400, CESifo.
  69. 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.
  70. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
  71. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
  72. Torsten Ehlers & Mathias Hoffmann & Alexander Raabe, 2020. "Non-US global banks and dollar (co-)dependence: how housing markets became internationally synchronized," BIS Working Papers 897, Bank for International Settlements.
  73. Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022. "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 5-38, February.
  74. Mr. Tobias Adrian & Peichu Xie, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," IMF Working Papers 2020/101, International Monetary Fund.
  75. 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.
  76. Arslanalp, Serkan & Eichengreen, Barry & Simpson-Bell, Chima, 2022. "The stealth erosion of dollar dominance and the rise of nontraditional reserve currencies," Journal of International Economics, Elsevier, vol. 138(C).
  77. Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
  78. Benedikt Ballensiefen & Angelo Ranaldo, 2023. "Safe Asset Carry Trade," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 223-265.
  79. 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.
  80. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
  81. 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.
  82. Nissinen, Juuso & Sihvonen, Markus, 2024. "Bond convenience curves and funding costs," Journal of International Economics, Elsevier, vol. 151(C).
  83. Aizenman, Joshua & Ito, Hiro & Pasricha, Gurnain Kaur, 2022. "Central bank swap arrangements in the COVID-19 crisis," Journal of International Money and Finance, Elsevier, vol. 122(C).
  84. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2021. "Does a big bazooka matter? Quantitative easing policies and exchange rates," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 489-506.
  85. Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
  86. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
  87. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
  88. Chen, Su & Yin, Lu, 2022. "Why do firms issue U.S. dollar bond abroad? Evidence from Chinese non-financial listed corporations," Research in International Business and Finance, Elsevier, vol. 60(C).
  89. Rosen Valchev, 2020. "Bond Convenience Yields and Exchange Rate Dynamics," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 124-166, April.
  90. Kuersteiner, Guido M. & Phillips, David C. & Villamizar-Villegas, Mauricio, 2018. "Effective sterilized foreign exchange intervention? Evidence from a rule-based policy," Journal of International Economics, Elsevier, vol. 113(C), pages 118-138.
  91. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
  92. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
  93. Christoph Kaufmann, 2023. "Investment Funds, Monetary Policy, and the Global Financial Cycle," Journal of the European Economic Association, European Economic Association, vol. 21(2), pages 593-636.
  94. 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.
  95. 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.
  96. International Monetary Fund, 2019. "Singapore: Financial Sector Assessment Program; Technical Note-Financial Stability Analysis and Stress Testing," IMF Staff Country Reports 2019/228, International Monetary Fund.
  97. 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).
  98. Martin Kliem & Alexander Kriwoluzky & Gernot J. Müller & Alexander Scheer, 2024. "Financial Repression in General Equilibrium: The Case of the United States, 1948–1974," Discussion Papers of DIW Berlin 2075, DIW Berlin, German Institute for Economic Research.
  99. Du, Wenxin & Hébert, Benjamin & Li, Wenhao, 2023. "Intermediary balance sheets and the treasury yield curve," Journal of Financial Economics, Elsevier, vol. 150(3).
  100. Ingomar Krohn & Philippe Mueller & Paul Whelan, 2024. "Foreign Exchange Fixings and Returns around the Clock," Journal of Finance, American Finance Association, vol. 79(1), pages 541-578, February.
  101. Paymon Khorrami & Alexander K. Zentefis, 2020. "Arbitrage and Beliefs," CESifo Working Paper Series 8490, CESifo.
  102. Cheung, Yin-Wong & Wang, Wenhao, 2022. "Uncovered interest rate parity redux: Non-uniform effects," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 133-151.
  103. Abbassi, Puriya & Bräuning, Falk, 2020. "Real effects of foreign exchange risk migration: Evidence from matched firm-bank microdata," Discussion Papers 53/2020, Deutsche Bundesbank.
  104. Oleg Itskhoki & Dmitry Mukhin, 2021. "Exchange Rate Disconnect in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 129(8), pages 2183-2232.
  105. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
  106. Aldasoro, Iñaki & Ehlers, Torsten & Eren, Egemen, 2022. "Global banks, dollar funding, and regulation," Journal of International Economics, Elsevier, vol. 137(C).
  107. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
  108. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
  109. Bush Georgia, 2019. "Bank foreign currency funding and currency markets: the case of Mexico post GFC," Working Papers 2019-01, Banco de México.
  110. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2023. "Foreign exchange order flow as a risk factor," Working Papers 2023_03, Business School - Economics, University of Glasgow.
  111. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
  112. 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.
  113. Granziera, Eleonora & Sihvonen, Markus, 2024. "Bonds, currencies and expectational errors," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  114. Idode Patrick & Sanusi Gbenga, 2019. "Financial Globalisation and Economic Transformation in Africa: Evidence from Nigeria," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 7-24, March.
  115. Krohn, Ingomar & Sushko, Vladyslav, 2022. "FX spot and swap market liquidity spillovers," Journal of International Money and Finance, Elsevier, vol. 120(C).
  116. 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.
  117. Ibhagui, Oyakhilome, 2020. "Sovereign Risk, Cross-Currency Basis and Equity Markets: A Cross-Market Dynamic Interaction," MPRA Paper 100946, University Library of Munich, Germany.
  118. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
  119. Makin, Anthony J. & Ratnasiri, Shyama, 2023. "New estimates of international capital mobility for select OECD economies," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 127-138.
  120. Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 173-197, November.
  121. Hugues Dastarac, 2020. "Market Making and Proprietary Trading in the US Corporate Bond Market," Working papers 754, Banque de France.
  122. 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.
  123. 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).
  124. Catalina Morales & Rodrigo Vergara, 2017. "Desviaciones de la paridad cubierta de tasas de interés: experiencia internacional y el caso de Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 082-100, December.
  125. Deping Xiong & Nada Khaddage-Soboh & Muhammad Umar & Adnan Safi & Diego Norena-Chavez, 2024. "Redefining entrepreneurship in the digital age: exploring the impact of technology and collaboration on ventures," International Entrepreneurship and Management Journal, Springer, vol. 20(4), pages 3255-3281, December.
  126. 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.
  127. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.
  128. Boyarchenko, Nina, 2022. "Comment on “central bank policy and the concentration of risk: Empirical estimates” by Nuno Coimbra, Daisoon Kim and Hélène Rey," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 199-201.
  129. Leonardo Gambacorta & Sergio Mayordomo & Jose Maria Serena, 2020. "Dollar borrowing, firmcharacteristics, and FX-hedged funding opportunities," BIS Working Papers 843, Bank for International Settlements.
  130. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
  131. Kai Schellekens & Patty Duijm, 2022. "Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic," Working Papers 752, DNB.
  132. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
  133. Dr. Daniel Kohler & Dr. Benjamin Müller, 2019. "Covered interest rate parity, relative funding liquidity and cross-currency repos," Working Papers 2019-05, Swiss National Bank.
  134. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
  135. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
  136. Jason Allen & Milena Wittwer, 2023. "Intermediary Market Power and Capital Constraints," Staff Working Papers 23-51, Bank of Canada.
  137. Hongcheng Ding & Xuanze Zhao & Zixiao Jiang & Shamsul Nahar Abdullah & Deshinta Arrova Dewi, 2024. "EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods," Papers 2408.13214, arXiv.org.
  138. Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
  139. Borri, Nicola & Shakhnov, Kirill, 2023. "Cryptomarket discounts," Journal of International Money and Finance, Elsevier, vol. 139(C).
  140. Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Li, Yan, 2024. "The out-of-sample performance of carry trades," Journal of International Money and Finance, Elsevier, vol. 143(C).
  141. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2018. "Global Investors, the Dollar, and U.S. Credit Conditions," CESifo Working Paper Series 7288, CESifo.
  142. Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
  143. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
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  164. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
  165. Philippe Bacchetta & Kenza Benhima & Jean-Paul Renne, 2022. "Understanding Swiss real interest rates in a financially globalized world," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-17, December.
  166. Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
  167. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
  168. Chen, Shiyi & Chng, Michael T. & Liu, Qingfu, 2021. "The implied arbitrage mechanism in financial markets," Journal of Econometrics, Elsevier, vol. 222(1), pages 468-483.
  169. 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.
  170. 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.
  171. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2020. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," NBER Working Papers 26773, National Bureau of Economic Research, Inc.
  172. 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.
  173. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2021. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Journal of Finance, American Finance Association, vol. 76(3), pages 1049-1089, June.
  174. Ragna Alstadheim & Christine Blandhol, 2018. "The global financial cycle, bank capital flows and monetary policy. Evidence from Norway," Working Paper 2018/2, Norges Bank.
  175. Hillary Stein, 2022. "Got Milk? The Effect of Export Price Shocks on Exchange Rates," Working Papers 23-1, Federal Reserve Bank of Boston.
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  184. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
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  188. Calomiris, Charles W. & Larrain, Mauricio & Schmukler, Sergio L. & Williams, Tomas, 2022. "Large international corporate bonds: Investor behavior and firm responses," Journal of International Economics, Elsevier, vol. 137(C).
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  190. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
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  192. Abbassi, Puriya & Bräuning, Falk, 2023. "Exchange rate risk, banks' currency mismatches, and credit supply," Journal of International Economics, Elsevier, vol. 141(C).
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  194. 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.
  195. Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
  196. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
  197. Walz, Stefan, 2024. "How does the fed affect corporate credit costs? Default risk, creditor segmentation and the post-FOMC drift," Journal of Monetary Economics, Elsevier, vol. 143(C).
  198. Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  199. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  200. Huber, Amy Wang, 2023. "Market power in wholesale funding: A structural perspective from the triparty repo market," Journal of Financial Economics, Elsevier, vol. 149(2), pages 235-259.
  201. Hanson, Samuel & Malkhozov, Aytek & Venter, Gyuri, 2022. "Demand-supply imbalance risk and long-term swap spreads," LSE Research Online Documents on Economics 118868, London School of Economics and Political Science, LSE Library.
  202. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  203. Ahmed Ahmed & Boris Hofmann & Martin Schmitz, 2023. "Foreign institutional investors, monetary policy, and reaching for yield," BIS Working Papers 1153, Bank for International Settlements.
  204. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
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  206. 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.
  207. Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).
  208. Jappelli, Ruggero & Pelizzon, Loriana & Subrahmanyam, Marti G., 2023. "Quantitative easing, the repo market, and the term structure of interest rates," SAFE Working Paper Series 395, Leibniz Institute for Financial Research SAFE.
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  210. Kwas, Marek & Beckmann, Joscha & Rubaszek, Michał, 2024. "Are consensus FX forecasts valuable for investors?," International Journal of Forecasting, Elsevier, vol. 40(1), pages 268-284.
  211. Nariman, Farhad & Heshmati, Almas, 2022. "Are Entrepreneurs Aware of Covered Interest Parity and Dollar Shortage?," IZA Discussion Papers 15216, Institute of Labor Economics (IZA).
  212. Zheng, Huanhuan, 2023. "Original sin redux and deviations from covered interest parity," Journal of International Money and Finance, Elsevier, vol. 139(C).
  213. Pierre Olivier Gourinchas, 2023. "International Macroeconomics: From the Great Financial Crisis to COVID-19, and Beyond," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(1), pages 1-34, March.
  214. Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
  215. Gruenthaler, Thomas & Lorenz, Friedrich & Meyerhof, Paul, 2022. "Option-based intermediary leverage," Journal of Banking & Finance, Elsevier, vol. 145(C).
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  217. Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  218. Tong, Eric, 2024. "Repercussions of the Russia–Ukraine war," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 366-390.
  219. Han, Bo, 2022. "Currency denomination and borrowing cost: Evidence from global bonds," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
  220. 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.
  221. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2024. "The Cost of Clearing Fragmentation," Management Science, INFORMS, vol. 70(6), pages 3581-3596, June.
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  223. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
  224. Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.
  225. Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
  226. Fleckenstein, Matthias & Longstaff, Francis A., 2020. "The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 637-658.
  227. Hyeyoon Jung, 2021. "Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments," Staff Reports 989, Federal Reserve Bank of New York.
  228. 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).
  229. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
  230. Hsuan Fu & Jui‐Chung Yang, 2022. "International currency markets and the COVID‐19 pandemic," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 400-422, October.
  231. 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.
  232. Karau, Sören, 2024. "Relative monetary policy and exchange rates," Discussion Papers 40/2024, Deutsche Bundesbank.
  233. Krüger, Ulrich & Roling, Christoph & Silbermann, Leonid & Wong, Lui Hsian, 2022. "Banks' strategic interaction, adverse price dynamics and systemic liquidity risk," Discussion Papers 06/2022, Deutsche Bundesbank.
  234. Jae Young Jang & Erdal Atukeren, 2019. "Sustainable Local Currency Debt: An Analysis of Foreigners’ Korea Treasury Bonds Investments Using a LA-VARX Model," Sustainability, MDPI, vol. 11(13), pages 1-23, June.
  235. 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).
  236. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
  237. Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
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  239. Zhongjin Lu & Zhongling Qin, 2021. "Leveraged Funds and the Shadow Cost of Leverage Constraints," Journal of Finance, American Finance Association, vol. 76(3), pages 1295-1338, June.
  240. Daniel Fried, 2023. "The U.S. Dollar as an International Currency and Its Economic Effects: Working Paper 2023-04," Working Papers 58764, Congressional Budget Office.
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  245. Ahn, Jungkyu & Ahn, Yongkil, 2022. "Demystifying the US Treasury floating rate note puzzle: A swap market perspective," Finance Research Letters, Elsevier, vol. 50(C).
  246. Bilson, Chris & Brailsford, Tim & Rajaguru, Gulasekaran, 2022. "Covered interest rate parity deviations in the Asia-Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
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  248. Hu, Jiafei & Yuan, Haishan, 2021. "Interest arbitrage under capital controls: Evidence from reported entrepôt trades," Journal of Banking & Finance, Elsevier, vol. 127(C).
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