IDEAS home Printed from https://ideas.repec.org/r/cpr/ceprdp/13637.html
   My bibliography  Save this item

Covered Interest Parity Arbitrage

Citations

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


Cited by:

  1. Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021. "Covered interest parity deviations: Macrofinancial determinants," Journal of International Economics, Elsevier, vol. 130(C).
  2. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
  3. Gerardo Ferrara & Philippe Mueller & Ganesh Viswanath-Natraj & Junxuan Wang, 2022. "Central bank swap lines: micro-level evidence," Bank of England working papers 977, Bank of England.
  4. Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
  5. Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series 2024-061, Board of Governors of the Federal Reserve System (U.S.).
  6. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
  7. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
  8. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2025. "Constrained liquidity provision in currency markets," Journal of Financial Economics, Elsevier, vol. 167(C).
  9. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
  10. Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  11. Oyakhilome Ibhagui, 2021. "Inflation differential as a driver of cross-currency basis swap spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 27(6), pages 510-536, April.
  12. Ben Zeev, Nadav & Nathan, Daniel, 2024. "The widening of cross-currency basis: When increased FX swap demand meets limits of arbitrage," Journal of International Economics, Elsevier, vol. 152(C).
  13. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
  14. Pēteris Kloks & Patrick McGuire & Angelo Ranaldo & Vladyslav Sushko, 2023. "Bank positions in FX swaps: insights from CLS," BIS Quarterly Review, Bank for International Settlements, September.
  15. Olav Syrstad, 2020. "Covered Interest Parity in long-dated securities," Working Paper 2020/11, Norges Bank.
  16. Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.
  17. Kubitza, Christian & Sigaux, Jean-David & Vandeweyer, Quentin, 2025. "The implications of CIP deviations for international capital flows," Working Paper Series 3017, European Central Bank.
  18. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
  19. Christian Julliard & Gabor Pinter & Karamfil Todorov & Kathy Yuan, 2022. "What drives repo haircuts? Evidence from the UK market," Bank of England working papers 985, Bank of England.
  20. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
  21. Christian Julliard & Gabor Pinter & Karamfil Todorov & Kathy Yuan, 2022. "What drives repo haircuts? Evidence from the UK market," Bank of England working papers 985, Bank of England.
  22. Bazán, Walter & Ortiz, Marco & Terrones, Marco & Winkelried, Diego, 2023. "CIP deviations: The role of U.S. banks’ liquidity and regulations," MPRA Paper 118600, University Library of Munich, Germany.
  23. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  24. Kitamura, Yoshihiro, 2024. "The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  25. Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
  26. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
  27. Han, Bo, 2022. "Currency denomination and borrowing cost: Evidence from global bonds," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
  28. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.