Covered Interest Arbitrage: Then versus Now
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References listed on IDEAS
- 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.
- Gauri Prakash & Alan M. Taylor, 1997. "Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913," NBER Working Papers 6073, National Bureau of Economic Research, Inc.
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- Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market," MPRA Paper 23381, University Library of Munich, Germany.
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008.
"Arbitrage in the foreign exchange market: Turning on the microscope,"
Journal of International Economics,
Elsevier, vol. 76(2), pages 237-253, December.
- Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank.
- Akram, Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers.
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
- Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
- Hanes, Christopher & Rhode, Paul W., 2013.
"Harvests and Financial Crises in Gold Standard America,"
The Journal of Economic History,
Cambridge University Press, vol. 73(01), pages 201-246, March.
- Christopher Hanes & Paul W. Rhode, 2012. "Harvests and Financial Crises in Gold-Standard America," NBER Working Papers 18616, National Bureau of Economic Research, Inc.
- Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
- Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis, 2014. "Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence," Papers 1406.4322, arXiv.org.
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