scholarly journals Segmented Money Markets and Covered Interest Parity Arbitrage

2017 ◽  
Author(s):  
Dagfinn Rime ◽  
Andreas Schrimpf ◽  
Olav Syrstad
Keyword(s):  
Money Markets ◽  
Covered Interest Parity ◽  
Interest Parity

Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market

2017 ◽  
Vol 44 ◽  
pp. 47-63 ◽  
Author(s):  
Hanbok Choi ◽  
Young Ho Eom ◽  
Woon Wook Jang ◽  
Don H. Kim
Keyword(s):  
Default Risk ◽  
Covered Interest Parity ◽  
Interest Parity

scholarly journals The Dollar, Bank Leverage, and Deviations from Covered Interest Parity

2019 ◽  
Vol 1 (2) ◽  
pp. 193-208 ◽  
Author(s):  
Stefan Avdjiev ◽  
Wenxin Du ◽  
Cathérine Koch ◽  
Hyun Song Shin
Keyword(s):  
Capital Markets ◽  
Risk Taking ◽  
Bank Lending ◽  
Global Capital ◽  
Cross Border ◽  
Covered Interest Parity ◽  
Interest Parity ◽  
Triangular Relationship

We document a triangular relationship in that a stronger dollar goes hand in hand with larger deviations from covered interest parity (CIP) and contractions of cross-border bank lending in dollars. We argue that underpinning the triangle is the role of the dollar as a key barometer of risk-taking capacity in global capital markets. (JEL F23, F31, G15, G21)

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