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Covered interest arbitrage in the 1970's

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  • Frenkel, Jacob A.
  • Levich, Richard M.

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Suggested Citation

  • Frenkel, Jacob A. & Levich, Richard M., 1981. "Covered interest arbitrage in the 1970's," Economics Letters, Elsevier, vol. 8(3), pages 267-274.
  • Handle: RePEc:eee:ecolet:v:8:y:1981:i:3:p:267-274
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    Cited by:

    1. 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.
    2. G√ľnther G. Schulze & Heinrich W. Ursprung, 1999. "Globalisation of the Economy and the Nation State," The World Economy, Wiley Blackwell, vol. 22(3), pages 295-352, May.
    3. Paul Boothe & Debra Glassman, 1988. "Alternative Tests of International Asset Substitutability," UCLA Economics Working Papers 463, UCLA Department of Economics.
    4. 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.

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