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Covered-interest arbitrage: unexploited profits: comment

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  • Frank McCormick
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1979/132/ifdp132.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 132.

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    Date of creation: 1979
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    Handle: RePEc:fip:fedgif:132

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    1. Fieleke, Norman S., 1975. "Exchange-Rate Flexibility and the Efficiency of the Foreign-Exchange Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(03), pages 409-428, September.
    2. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
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    Cited by:
    1. Jeffrey A. Frankel & Kenneth A. Froot, 1986. "The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalisists," NBER Working Papers 1854, National Bureau of Economic Research, Inc.
    2. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
    3. Christopher J. Neely & Paul A. Weller, 2011. "Lessons from the evolution of foreign exchange trading strategies," Working Papers 2011-021, Federal Reserve Bank of St. Louis.
    4. Ross Levine, 1987. "The pricing of forward exchange rates," International Finance Discussion Papers 312, Board of Governors of the Federal Reserve System (U.S.).
    5. Heinrich W. Ursprung, 1982. "Einige Bemerkungen zur empirischen Überprüfung der Effizienzhypothese für Devisenterminmärkte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 118(I), pages 81-92, March.
    6. Baldwin, Richard, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests: Small Transaction Costs, Big Hysteresis Bands," CEPR Discussion Papers 407, C.E.P.R. Discussion Papers.
    7. repec:dgr:uvatin:2002115 is not listed on IDEAS
    8. Robert E. Cumby & Maurice Obstfeld, 1982. "International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence," NBER Working Papers 0921, National Bureau of Economic Research, Inc.
    9. Robert E. Cumby & Maurice Obstfeld, 1980. "Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis," NBER Working Papers 0537, National Bureau of Economic Research, Inc.
    10. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
    11. 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.
    12. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.).
    13. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.
    14. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
    15. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.

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