Browsing BI Open by Author "Schrimpf, Andreas"
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Covered Interest Parity Arbitrage
Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav (Peer reviewed; Journal article, 2022)To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds ...