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Covered Interest Parity Deviations: Macrofinancial Determinants

In: NBER International Seminar on Macroeconomics 2020

Citations

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Cited by:

  1. Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
  2. Mr. Tobias Adrian & Peichu Xie, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," IMF Working Papers 2020/101, International Monetary Fund.
  3. Bazán-Palomino, Walter & Ortiz, Marco & Terrones, Marco E. & Winkelried, Diego, 2025. "The role of US bank liquidity and regulations in Covered Interest Parity deviations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 102(C).
  4. Fabiani, Andrea & López-Piñeros, Martha & Peydró, José-Luis & Soto, Paul E., 2022. "Capital Controls, Domestic Macroprudential Policy and the Bank Lending Channel of Monetary Policy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 139(November ), pages 1-1.
  5. Ibhagui, Oyakhilome, 2021. "Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  6. Kai Schellekens & Patty Duijm, 2022. "Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic," Working Papers 752, DNB.
  7. Wohlfarth, Paul & Chen, Xiaohong, 2024. "Limits to arbitrage and the term structure of CIP violations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 95(C).
  8. Rodrigo Sekkel & Henry Stern & Xu Zhang, 2025. "Money Talks: How Foreign and Domestic Monetary Policy Communications Move Financial Markets," Staff Working Papers 25-33, Bank of Canada.
  9. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2025. "Capital Mobility Based on Onshore-Offshore Arbitrage: Empirical Evidence from India and China," Open Economies Review, Springer, vol. 36(4), pages 1125-1155, September.
  10. Wenxin Du & Ritt Keerati & Jesse Schreger, 2025. "Decoupling Dollar and Treasury Privilege," International Finance Discussion Papers 1427, Board of Governors of the Federal Reserve System (U.S.).
  11. Nelson R. Ramírez-Rondán & Marco E. Terrones, 2024. "Uncertainty and the uncovered interest parity condition: How are they related?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(4), pages 1505-1542, November.
  12. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
  13. Gerardo Ferrara & Philippe Mueller & Ganesh Viswanath-Natraj & Junxuan Wang, 2022. "Central bank swap lines: micro-level evidence," Bank of England Staff Working Paper series 977, Bank of England.
  14. Jiao, Dongdan & Wei, Yuchen & Heng, Li & Yu, Cong, 2026. "The different impacts of Fed's pure monetary policy and information shocks on crude oil's price," International Review of Economics & Finance, Elsevier, vol. 108(C).
  15. Nadav Ben Zeev & Daniel Nathan, 2023. "The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage," Working Papers 2316, Ben-Gurion University of the Negev, Department of Economics.
  16. Pierre Olivier Gourinchas, 2023. "International Macroeconomics: From the Great Financial Crisis to COVID-19, and Beyond," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(1), pages 1-34, March.
  17. Maurice Obstfeld, 2020. "Global Dimensions of U.S. Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 73-132, February.
  18. 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).
  19. Sevgi Coşkun & Oyakhilome Ibhagui, 2022. "Technology shocks and covered interest parity deviations in emerging market economies," Empirical Economics, Springer, vol. 63(3), pages 1337-1374, September.
  20. José Gabriel Astaíza-Gómez, 2025. "Uncertainty, Risk, and Opaque Stock Markets," IJFS, MDPI, vol. 13(1), pages 1-32, March.
  21. Bilson, Chris & Brailsford, Tim & Rajaguru, Gulasekaran, 2022. "Covered interest rate parity deviations in the Asia-Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  22. Bank for International Settlements, 2020. "US dollar funding: an international perspective," CGFS Papers, Bank for International Settlements, number 65.
  23. Gee Hee Hong & Anne Oeking & Kenneth H. Kang & Changyong Rhee, 2021. "What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia?," Open Economies Review, Springer, vol. 32(2), pages 361-394, April.
  24. Du, Wenxin & Keerati, Ritt & Schreger, Jesse, 2025. "Decoupling Dollar and Treasury Privilege," SocArXiv 7u9kn_v1, Center for Open Science.
  25. Lim, Jamus Jerome & Long, Xin, 2026. "The dollar squeeze and economic growth," Journal of Macroeconomics, Elsevier, vol. 87(C).
  26. Boermans, Martijn A. & Burger, John D., 2023. "Fickle emerging market flows, stable euros, and the dollar risk factor," Journal of International Economics, Elsevier, vol. 142(C).
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