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International capital mobility: direct evidence from long-term currency swaps

  • Helen Popper
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    This paper provides direct measures of the international mobility of long-term financial capital using interest arbitrage conditions previously applied only to short-term assets. Long-term arbitrage conditions are constructed using a now well-developed mechanism for hedging long-term currency positions, the currency swap. Asset returns are compared in the Euromarkets and in the onshore markets of Canada, Japan, Germany, Switzerland, the United Kingdom, and the United States. The evidence, discussed below, indicates that long-term financial capital is as mobile across these markets as is short-term capital. This appears to be the case both within the Euromarkets and across political jurisdictions.

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    File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/ifdp386.pdf
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    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 386.

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    Date of creation: 1990
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    Handle: RePEc:fip:fedgif:386
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