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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08

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
  2. 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. Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021. "Covered interest parity deviations: Macrofinancial determinants," Journal of International Economics, Elsevier, vol. 130(C).
  2. Yoshiko Suzuki, 2016. "European banks' funding realignment during the European debt crisis: impact of counterparty risk and funding liquidity on FX swap pricing," Economics Bulletin, AccessEcon, vol. 36(2), pages 696-703.
  3. Ka-Fai Li & Cho-Hoi Hui & Tsz-Kin Chung, 2012. "Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets," Working Papers 242012, Hong Kong Institute for Monetary Research.
  4. International Monetary Fund, 2013. "Russian Federation: Selected Issues," IMF Staff Country Reports 2013/311, International Monetary Fund.
  5. Anella Munro & Philip Wooldridge, 2011. "Motivations for swap-covered foreign currency borrowing," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 19-56, Bank for International Settlements.
  6. Ferreira, Paulo & Kristoufek, Ladislav, 2017. "What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 554-566.
  7. Claudia Buch & Catherine Koch & Michael Koetter, 2016. "Crises and rescues: liquidity transmission through international banks," BIS Working Papers 576, Bank for International Settlements.
  8. Min-woo Kang, 2019. "Currency Market Efficiency Revisited: Evidence from Korea," IJFS, MDPI, vol. 7(3), pages 1-17, September.
  9. YV Reddy, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 39-40, Bank for International Settlements.
  10. Anand Sinha, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 85-87, Bank for International Settlements.
  11. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
  12. Saleem Bahaj & Ricardo Reis, 2018. "Central Bank Swap Lines," Discussion Papers 1816, Centre for Macroeconomics (CFM).
  13. 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.
  14. 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.
  15. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
  16. Laurence Fung & Ip-wing Yu, 2009. "Dislocations in FX Swap and Money Markets in Hong Kong and Policy Actions during the Financial Crisis of 2008," Working Papers 0917, Hong Kong Monetary Authority.
  17. 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.
  18. Saleem Bahaj & Ricardo Reis, 2022. "The Economics of Liquidity Lines Between Central Banks," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 57-74, November.
  19. Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
  20. Chen, W.D., 2020. "Liquidity, covered interest rate parity, and zero lower bound in Japan’s foreign exchange markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 334-349.
  21. Fukuda, Shin-ichi & Tanaka, Mariko, 2017. "Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 301-317.
  22. Claudiu Tiberiu Albulescu & Dominique Pépin & Aviral Kumar Tiwari, 2016. "A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING ‘OLD’ AND ‘NEW’ SECOND-GENERATION PANEL UNIT ROOT TESTS," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 133-150, April.
  23. Harald Hau & Sandy Lai, 2017. "The Role of Equity Funds in the Financial Crisis Propagation," Review of Finance, European Finance Association, vol. 21(1), pages 77-108.
  24. Sirio Aramonte & Wenqian Huang, 2019. "OTC derivatives: euro exposures rise and central clearing advances," BIS Quarterly Review, Bank for International Settlements, December.
  25. De Socio, Antonio, 2013. "The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1340-1358.
  26. Rogoff, Kenneth S. & Tashiro, Takeshi, 2015. "Japan’s exorbitant privilege," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 43-61.
  27. 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.
  28. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
  29. Cheung, Yin-Wong (ed.), 2012. "The Evolving Role of China in the Global Economy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262018234, April.
  30. Anella Munro & Michael Reddell, 2012. "Foreign currency reserves: why we hold them influences how we fund them," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 35-45, September.
  31. Eguren-Martin, Fernando, 2020. "Dollar shortages and central bank swap lines," Bank of England working papers 879, Bank of England.
  32. 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.
  33. Nagayasu, Jun, 2014. "The forward premium puzzle and the Euro," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 436-451.
  34. Shin-ichi Fukuda, 2016. "Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York," International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 339-359, July.
  35. 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.
  36. Manuel Amador & Javier Bianchi & Luigi Bocola & Fabrizio Perri, 2020. "Exchange Rate Policies at the Zero Lower Bound," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(4), pages 1605-1645.
  37. Hernández, Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," MPRA Paper 100744, University Library of Munich, Germany.
  38. Richard M. Levich & Frank Packer, 2017. "Development and Functioning of FX Markets in Asia and the Pacific," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 26(1), pages 3-58, February.
  39. Paulo Ferreira & Andreia Dionisio, 2015. "Revisiting Covered Interest Parity in the European Union: the DCCA Approach," International Economic Journal, Taylor & Francis Journals, vol. 29(4), pages 597-615, December.
  40. Bank for International Settlements, 2010. "The functioning and resilience of cross-border funding markets," CGFS Papers, Bank for International Settlements, number 37, december.
  41. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
  42. Bank for International Settlements, 2015. "Currency carry trades in Latin America," BIS Papers, Bank for International Settlements, number 81.
  43. Fukuda, Shin-ichi, 2012. "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3185-3196.
  44. Fukuda, Shin-ichi, 2016. "Strong sterling pound and weak European currencies in the crises: Evidence from covered interest parity of secured rates," Journal of the Japanese and International Economies, Elsevier, vol. 42(C), pages 109-122.
  45. Maurice Obstfeld, 2009. "Lenders of Last Resort in a Globalized World," IMES Discussion Paper Series 09-E-18, Institute for Monetary and Economic Studies, Bank of Japan.
  46. Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017. "Segmented money markets and covered interest parity arbitrage," Working Paper 2017/15, Norges Bank.
  47. Lee A. Smales & Jardee N. Kininmonth, 2016. "FX Market Returns and Their Relationship to Investor Fear," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 659-675, December.
  48. 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.
  49. Falk Bräuning & Kovid Puria, 2017. "Uncovering covered interest parity: the role of bank regulation and monetary policy," Current Policy Perspectives 17-3, Federal Reserve Bank of Boston.
  50. Alfred Wong & David Leung & Calvin Ng, 2016. "Risk-adjusted Covered Interest Parity: Theory and Evidence," Working Papers 162016, Hong Kong Institute for Monetary Research.
  51. Silvia Albrizio & Iván Kataryniuk & Luis Molina & Jan Schäfer, 2021. "ECB euro liquidity lines," Working Papers 2125, Banco de España.
  52. Suh, Sangwon & Kim, Young Ju, 2016. "Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 161-176.
  53. Jinzhao Chen, 2012. "Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation," PSE Working Papers halshs-00660654, HAL.
  54. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
  55. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
  56. Michael R King, 2009. "Time to buy or just buying time? The market reaction to bank rescue packages," BIS Working Papers 288, Bank for International Settlements.
  57. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  58. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.
  59. 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.
  60. 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.
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  62. Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
  63. Robert N McCauley, 2011. "The euro and the yen as anchor currencies before and during the financial crisis - comments on Moss's paper "The euro: internationalised at birth" and Takagi's paper "Internationalising," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 93-104, Bank for International Settlements.
  64. Irfan Akbar Kazi & Hakimzadi Wagan, 2014. "Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets," Working Papers 2014-58, Department of Research, Ipag Business School.
  65. 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.
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  67. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
  68. Dr. Albi Tola & Dr. 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.
  69. 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.
  70. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  71. Rose, Andrew K. & Spiegel, Mark M., 2012. "Dollar illiquidity and central bank swap arrangements during the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 326-340.
  72. Charles Engel & Steve Pak Yeung Wu, 2023. "Liquidity and Exchange Rates: An Empirical Investigation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(5), pages 2395-2438.
  73. D. Essers & E. Vincent, 2017. "The global financial safety net :In need of repair ?," Economic Review, National Bank of Belgium, issue ii, pages 87-112, september.
  74. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
  75. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  76. Mr. Mark R. Stone & W. Christopher Walker & Yosuke Yasui, 2009. "From Lombard Street to Avenida Paulista: Foreign Exchange Liquidity Easing in Brazil in Response to the Global Shock of 2008–09," IMF Working Papers 2009/259, International Monetary Fund.
  77. Levich, Richard M., 2012. "FX counterparty risk and trading activity in currency forward and futures markets," Review of Financial Economics, Elsevier, vol. 21(3), pages 102-110.
  78. 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.
  79. Richard M. Levich, 2012. "FX counterparty risk and trading activity in currency forward and futures markets," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 102-110, September.
  80. Emmanuel Carré & Laurent Le Maux, 2018. "The Federal Reserve's Dollar Swap Lines and the European Central Bank during the global financial crisis of 2007-2009," Post-Print hal-02570211, HAL.
  81. 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).
  82. 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.
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