Blar i BI Open på forfatter "Syrstad, Olav"
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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 ... -
Does publication of interest rate paths provide guidance?
Natvik, Gisle James; Rime, Dagfinn; Syrstad, Olav (Journal article; Peer reviewed, 2020)Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we ...