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One-Way Arbitrage and Its Implications for the Foreign Exchange Markets

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  • Deardorff, Alan V

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 87 (1979)
Issue (Month): 2 (April)
Pages: 351-64

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Handle: RePEc:ucp:jpolec:v:87:y:1979:i:2:p:351-64

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Web page: http://www.journals.uchicago.edu/JPE/

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Cited by:
  1. Richard K. Lyons & Michael J. Moore, 2005. "An Information Approach to International Currencies," NBER Working Papers 11220, National Bureau of Economic Research, Inc.
  2. Ghosh, Dilip K. & Ghosh, Dipasri, 2005. "Covered arbitrage with currency options: A theoretical analysis," Global Finance Journal, Elsevier, vol. 16(1), pages 86-98, August.
  3. Charles W. Calomiris & R. Glenn Hubbard, 1987. "International Adjustment Under the Classical Gold Standard: Evidence for the U.S. and Britain, 1879-1914," NBER Working Papers 2206, National Bureau of Economic Research, Inc.
  4. V. Vance Roley, 1986. "U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations," NBER Working Papers 1858, National Bureau of Economic Research, Inc.
  5. Aliber, Robert Z. & Chowdhry, Bhagwan & Yan, Shu, 2000. "Transactions Costs in the Foreign Exchange Market," University of California at Los Angeles, Anderson Graduate School of Management qt4qw3p6rp, Anderson Graduate School of Management, UCLA.
  6. Blenman, Lloyd P., 2000. "Non-reversed trades: Further implications for currency trading," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 243-255, July.
  7. Callier, Philippe, 1988. "Coûts de transaction et parité des taux d’intérêt," L'Actualité Economique, Société Canadienne de Science Economique, vol. 64(1), pages 122-125, mars.
  8. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  9. Rosita P. Chang & Sang-Hyop Lee & Sean F. Reid & S. Ghon Rhee, 2002. "One-Way Arbitrage-Based Interest Parity," Tinbergen Institute Discussion Papers 02-115/2, Tinbergen Institute.
  10. Takatoshi Ito, 1983. "Capital Controls and Covered Interest Parity," NBER Working Papers 1187, National Bureau of Economic Research, Inc.
  11. D. K. Ghosh, 1997. "Arbitrage with hedging by forward contracts: exploited and exploitable profits," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 349-361.
  12. Blenman, Lloyd P. & Chen, Jianguo, 2001. "Non-reversed trade and equilibrium in forward exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(2), pages 259-277.
  13. 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.
  14. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2009. "Does the law of one price hold in international financial markets? Evidence from tick data," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1741-1754, October.
  15. Daniel L. Thornton, 1989. "Tests of covered interest rate parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-66.
  16. McBrady, Matthew R. & Schill, Michael J., 2007. "Foreign currency-denominated borrowing in the absence of operating incentives," Journal of Financial Economics, Elsevier, vol. 86(1), pages 145-177, October.
  17. repec:dgr:uvatin:2002115 is not listed on IDEAS
  18. James E. Anderson & Eric van Wincoop, 2004. "Trade Costs," Journal of Economic Literature, American Economic Association, vol. 42(3), pages 691-751, September.
  19. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  20. Ghosh, Dilip K., 1997. "Risk-free profits with forward contracts in exchange rates and interest rates," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 253-264, October.

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