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Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture

Citations

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Cited by:

  1. Syed Adnan Haider Ali Shah Bukhari & Muhammad Shahbaz Akmal & Mohammad Sabihuddin Butt, 2006. "Impact of Exchange Market Forces on Pak-Rupee Exchange Rates during Globalization Period: An Empirical Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(1), pages 121-139, Jan-Jun.
  2. 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.
  3. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  4. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
  5. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
  6. Ming-Yuan Leon Li, 2009. "Nonlinear interrelations between ADRs and their underlying stocks revisited: application of threshold VECM," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1867-1873.
  7. Byoung Hark Yoo, 2008. "Interest Arbitrage and Interest Rates in Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 14(3), pages 133-155, September.
  8. 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.
  9. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages 125-139, March.
  10. Cho, Dooyeon, 2015. "The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 229-238.
  11. Pasricha, Gurnain, 2007. "Financial Integration in Emerging Market Economies," MPRA Paper 5278, University Library of Munich, Germany.
  12. 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.
  13. Hutchison, Michael & Kendall, Jake & Pasricha, Gurnain & Singh, Nirvikar, 2009. "Indian capital control liberalization: Evidence from NDF markets," Working Papers 09/60, National Institute of Public Finance and Policy.
  14. Hernández, Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," MPRA Paper 100744, University Library of Munich, Germany.
  15. Bertrand BLANCHETON (CMHE-IFReDE-GRES) & Samuel MAVEYRAUD-TRICOIRE (Université Bordeaux IV), 2006. "The indicators of international financial integration: A set of convergent measures (In French)," Cahiers du GRES (2002-2009) 2006-13, Groupement de Recherches Economiques et Sociales.
  16. Accominotti, Olivier & Chambers, David, 2016. "If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years," The Journal of Economic History, Cambridge University Press, vol. 76(2), pages 342-386, June.
  17. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2022. "Capital account openness in India and a comparison with China: Then versus now," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-005, Indira Gandhi Institute of Development Research, Mumbai, India.
  18. Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
  19. Bhar, Ramprasad & Kim, Suk-Joong & Pham, Toan M., 2004. "Exchange rate volatility and its impact on the transaction costs of covered interest rate parity," Japan and the World Economy, Elsevier, vol. 16(4), pages 503-525, December.
  20. repec:bla:econom:v:72:y:2005:i:3:p:413-430 is not listed on IDEAS
  21. Hallwood, C. Paul & Marsh, Ian W., 2004. "Exchange market pressure on the pound-dollar exchange rate: 1925-1931," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 249-264, August.
  22. Dominique Torre, 2012. "The monetary views of Paul Einzig," Post-Print halshs-00726126, HAL.
  23. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  24. Jyh‐Lin Wu & Pei‐Fen Chen & Ching‐Nun Lee, 2009. "Purchasing Power Parity, Productivity Differentials And Non‐Linearity," Manchester School, University of Manchester, vol. 77(3), pages 271-287, June.
  25. Elena Tchernykh & William H. Branson, 2005. "Regime-Switching Behavior of the Term Structure of Forward Markets," NBER Working Papers 11517, National Bureau of Economic Research, Inc.
  26. Jinzhao Chen, 2012. "Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation," PSE Working Papers halshs-00660654, HAL.
  27. Kuan-Min Wang & Yuan-Ming Lee, 2009. "A measure of marketing price transmission in the rice market of Taiwan," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 27(2), pages 311-326.
  28. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
  29. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  30. Olivier Accominotti & Thilo N H Albers & Kim Oosterlinck, 2024. "Selective Default Expectations," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1979-2015.
  31. Luciana Juvenal & Mr. Rodolphe Blavy, 2008. "Mexico’s Integration into NAFTA Markets: A View from Sectoral Real Exchange Rates and Transaction Costs," IMF Working Papers 2008/123, International Monetary Fund.
  32. Richard H. Clarida & Manuela Goretti & Mark P. Taylor, 2007. "Are There Thresholds of Current Account Adjustment in the G7?," NBER Chapters, in: G7 Current Account Imbalances: Sustainability and Adjustment, pages 169-204, National Bureau of Economic Research, Inc.
  33. Hernández, Juan R., 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," MPRA Paper 100653, University Library of Munich, Germany.
  34. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
  35. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
  36. 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).
  37. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters, in: Globalization in Historical Perspective, pages 121-188, National Bureau of Economic Research, Inc.
  38. Rodolphe Blavy & Luciana Juvenal, 2009. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 441-464.
  39. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
  40. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
  41. Elena Goldman, 2006. "Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard," Empirical Economics, Springer, vol. 31(2), pages 449-477, June.
  42. International Monetary Fund, 2007. "Mexico: Selected Issues," IMF Staff Country Reports 2007/378, International Monetary Fund.
  43. Efthymios Pavlidis & Nicos Pavlidis, 2012. "Dynamic Estimation of Trade Costs from Real Exchange Rates," Working Papers 21883757, Lancaster University Management School, Economics Department.
  44. Koyama, Kentaro & Takeda, Sumihiro, 2023. "Currency basis term structure, cross-border investment flow, and central bank currency swap agreement," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 470-482.
  45. Paya, Ivan & Peel, David A. & Spiru, Alina, 2010. "The forward premium puzzle in the interwar period and deviations from covered interest parity," Economics Letters, Elsevier, vol. 108(1), pages 55-57, July.
  46. Beckworth David & Hendrickson Josh, 2012. "Great Spending Crashes," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-28, September.
  47. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
  48. Hyeongwoo Kim & Liliana Stern & Michael Stern, 2009. "Nonlinear mean reversion in the G7 stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 347-355.
  49. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
  50. Elena Tchernykh Branson, 2004. "Application of a Modified TAR Model to CIP Deviations in Asian Data," Working Papers 192004, Hong Kong Institute for Monetary Research.
  51. Hsiou-Wei Lin & Yun Chiang Tai, 2009. "A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1223-1237.
  52. Hernández Juan R., 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
  53. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
  54. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
  55. Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
  56. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
  57. Koyama, Mark & Johnson, Blake, 2015. "Monetary stability and the rule of law," Journal of Financial Stability, Elsevier, vol. 17(C), pages 46-58.
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