Covered Interest Parity Arbitrage
| dc.contributor.author | Rime, Dagfinn | |
| dc.contributor.author | Schrimpf, Andreas | |
| dc.contributor.author | Syrstad, Olav | |
| dc.date.accessioned | 2023-02-20T13:14:22Z | |
| dc.date.available | 2023-02-20T13:14:22Z | |
| dc.date.created | 2022-02-07T16:55:25Z | |
| dc.date.issued | 2022 | |
| dc.identifier.citation | The Review of financial studies. 2022, 35 (11), 5185-5227. | en_US |
| dc.identifier.issn | 0893-9454 | |
| dc.identifier.uri | https://hdl.handle.net/11250/3052400 | |
| dc.description.abstract | 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 fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks' usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions. | en_US |
| dc.description.abstract | Covered Interest Parity Arbitrage | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Oxford Academic | en_US |
| dc.rights | Navngivelse 4.0 Internasjonal | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
| dc.title | Covered Interest Parity Arbitrage | en_US |
| dc.title.alternative | Covered Interest Parity Arbitrage | en_US |
| dc.type | Peer reviewed | en_US |
| dc.type | Journal article | en_US |
| dc.description.version | publishedVersion | en_US |
| dc.subject.nsi | VDP::Samfunnsøkonomi: 212 | en_US |
| dc.subject.nsi | VDP::Economics: 212 | en_US |
| dc.subject.nsi | VDP::Samfunnsøkonomi: 212 | en_US |
| dc.subject.nsi | VDP::Economics: 212 | en_US |
| dc.source.pagenumber | 5185-5227 | en_US |
| dc.source.volume | 35 | en_US |
| dc.source.journal | The Review of financial studies | en_US |
| dc.source.issue | 11 | en_US |
| dc.identifier.doi | 10.1093/rfs/hhac026 | |
| dc.identifier.cristin | 1998738 | |
| dc.relation.project | Finansmarkedfondet: 245795 | en_US |
| cristin.ispublished | true | |
| cristin.fulltext | original | |
| cristin.qualitycode | 2 |
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