IDEAS home Printed from https://ideas.repec.org/h/nbr/nberch/11194.html
   My bibliography  Save this book chapter

Interest Differential and Covered Arbitrage

In: Financial Policies and the World Capital Market: The Problem of Latin American Countries

Author

Listed:
  • José Saúl Lizondo

Abstract

No abstract is available for this item.

Suggested Citation

  • José Saúl Lizondo, 1983. "Interest Differential and Covered Arbitrage," NBER Chapters,in: Financial Policies and the World Capital Market: The Problem of Latin American Countries, pages 221-244 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:11194
    as

    Download full text from publisher

    File URL: http://www.nber.org/chapters/c11194.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. McKinnon, Ronald I., 1976. "Floating foreign exchange rates 1973-1974: The emperor's new clothes," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 3(1), pages 79-114, January.
    2. Pedersson, George & Tower, Edward, 1979. "On the long and short run relationship between the forward rate and the interest parity," Journal of Macroeconomics, Elsevier, vol. 1(1), pages 65-77.
    3. Jeremy J. Siegel, 1972. "Risk, Interest Rates and the Forward Exchange," The Quarterly Journal of Economics, Oxford University Press, vol. 86(2), pages 303-309.
    4. Fama, Eugene F & Farber, Andre, 1979. "Money, Bonds, and Foreign Exchange," American Economic Review, American Economic Association, vol. 69(4), pages 639-649, September.
    5. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
    6. McCormick, Frank, 1979. "Covered Interest Arbitrage: Unexploited Profits? Comment," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 411-417, April.
    7. J. Huston McCulloch, 1975. "Operational Aspects of the Siegel Paradox," The Quarterly Journal of Economics, Oxford University Press, vol. 89(1), pages 170-172.
    8. Krasker, William S., 1980. "The `peso problem' in testing the efficiency of forward exchange markets," Journal of Monetary Economics, Elsevier, vol. 6(2), pages 269-276, April.
    9. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-338, April.
    10. Frank McCormick, 1979. "Covered-interest arbitrage: unexploited profits: comment," International Finance Discussion Papers 132, Board of Governors of the Federal Reserve System (U.S.).
    11. Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-341, August.
    12. Roll, Richard & Solnik, Bruno, 1979. "On some parity conditions encountered frequently in international economics," Journal of Macroeconomics, Elsevier, vol. 1(3), pages 267-283.
    13. 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.
    14. Frankel, Jeffrey A., 1979. "The diversifiability of exchange risk," Journal of International Economics, Elsevier, vol. 9(3), pages 379-393, August.
    15. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-384, April.
    16. Branson, William H, 1969. "The Minimum Covered Interest Differential Needed for International Arbitrage Activity," Journal of Political Economy, University of Chicago Press, vol. 77(6), pages 1028-1035, Nov./Dec..
    17. Levi, Maurice D, 1977. "Taxation and "Abnormal" International Capital Flows," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 635-646, June.
    18. Prachowny, Martin F J, 1970. "A Note on Interest Parity and the Supply of Arbitrage Funds," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 540-545, May-June.
    19. Allen, William A., 1977. "A note on uncertainty, transactions costs and interest parity," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 367-373, July.
    20. Officer, Lawrence H & Willett, Thomas D, 1970. "The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 2(2), pages 247-257, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liliana Rojas-Suárez & Donald J Mathieson & Michael P. Dooley, 1996. "Capital Mobility and Exchange Market Intervention in Developing Countries," IMF Working Papers 96/131, International Monetary Fund.
    2. Sebastian Edwards & Mohsin S. Khan, 1985. "Interest Rate Determination in Developing Countries: A Conceptual Framework," NBER Working Papers 1531, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberch:11194. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/nberrus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.