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Limits to Arbitrage and Deviations from Covered Interest Rate Parity
Language: en
Pages: 25
Authors: James Pinnington
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Type: BOOK - Published: 2016 - Publisher:

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Limits to Arbitrage and Deviations from Covered Interest Rate Parity
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Therefore, the views expressed in this paper are solely those of the authors and may differ from official views of the Bank of Canada and the International Mone
Covered Interest Parity Deviations: Macrofinancial Determinants
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For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic re
Deviations from Covered Interest Rate Parity
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We find that deviations from the covered interest rate parity condition (CIP) imply large, persistent, and systematic arbitrage opportunities in one of the larg
Covered Interest Arbitrage and Market Turbulence
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