The Covered Interest Parity Puzzle and the Evolution of the Japan Premium
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- Alexis Stenfors, 2019. "The Covered Interest Parity Puzzle and the Evolution of the Japan Premium," Journal of Economic Issues, Taylor & Francis Journals, vol. 53(2), pages 417-424, April.
References listed on IDEAS
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- Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2019. "From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps," Working Papers in Economics & Finance 2019-05, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
More about this item
Keywordsarbitrage; covered interest parity; financial crisis; FX swap market; Japan Premium; money market;
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F3 - International Economics - - International Finance
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2018-11-26 (Central Banking)
- NEP-MAC-2018-11-26 (Macroeconomics)
- NEP-MON-2018-11-26 (Monetary Economics)
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