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The profitability of interest arbitrage when the base currency is pegged to a basket

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  • Imad Moosa

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Abstract

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Suggested Citation

  • Imad Moosa, 2011. "The profitability of interest arbitrage when the base currency is pegged to a basket," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 267-281, October.
  • Handle: RePEc:kap:rqfnac:v:37:y:2011:i:3:p:267-281
    DOI: 10.1007/s11156-010-0204-1
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    File URL: http://hdl.handle.net/10.1007/s11156-010-0204-1
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    References listed on IDEAS

    as
    1. Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
    2. Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 311-325, June.
    3. Christoffersen, Peter F & Giorgianni, Lorenzo, 2000. "Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 242-253, April.
    4. Martin Klein, 1989. "Arbitrage and interest rates on currency baskets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 296-310, June.
    5. Pikkarainen, Pentti, 1991. "International portfolio diversification: the basket-peg regime," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 432-442, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Currency baskets; Interest arbitrage; Monte Carlo simulations; F31;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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