IDEAS home Printed from https://ideas.repec.org/p/boj/bojrev/12-e-3.html
   My bibliography  Save this paper

Recent Developments in U.S. Dollar Funding Costs through FX Swaps

Author

Listed:
  • Masatoshi Ando

    (Bank of Japan)

Abstract

Since the summer of 2011, foreign exchange (FX) swap-implied U.S. dollar rates have attracted attention amid a growing concern over European banks' dollar funding. In this paper, we analyze the dollar rate based on interest arbitrage and clarify the factors affecting its fluctuation. The main results of the analysis are as follows. (1) From mid-July to late October 2011, the FX swap-implied dollar rate from the euro rose under increasing stress observed in the unsecured euro and dollar markets. (2) From November, the rate soared to a level not fully explained by the observed stress in the unsecured markets, implying a very tight dollar funding situation in the FX swap market. (3) Subsequently, the rate started to decline and showed that stress in the FX swap market had eased, as the year-end had passed without a problem given the coordinated central bank action to lower the interest rates on the dollar funds-supplying operations.

Suggested Citation

  • Masatoshi Ando, 2012. "Recent Developments in U.S. Dollar Funding Costs through FX Swaps," Bank of Japan Review Series 12-E-3, Bank of Japan.
    • Handle: RePEc:boj:bojrev:12-e-3
    as

    Download full text from publisher

    File URL: http://www.boj.or.jp/en/research/wps_rev/rev_2012/data/rev12e03.pdf
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období [Yield Curve Construction after Crisis]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 67-99.
    2. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.

    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:boj:bojrev:12-e-3. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bank of Japan (email available below). General contact details of provider: https://edirc.repec.org/data/bojgvjp.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.