Covered Interest Parity Deviations:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | , |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2019.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 1 online resource (37 pages) |
| ISBN: | 1484395255 9781484395257 |
Internformat
MARC
| LEADER | 00000cam a2200000Mu 4500 | ||
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| 008 | 190209s2019 dcu o 000 0 eng d | ||
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| 100 | 1 | |a Cerutti, Eugenio M. | |
| 245 | 1 | 0 | |a Covered Interest Parity Deviations |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c 2019. | ||
| 300 | |a 1 online resource (37 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Contents; I. Introduction; II. CIP deviations before, during, and after the GFC; III. Other proposed factors affecting CIP deviations; IV. Time-varying explanatory power of aggregate U.S. dollar strength: evidence from time-series regressions; V. Conclusions; References; Figures; Figure 1: 3-month Libor cross-currency dollar basis; Figure 2: 5-year cross-currency dollar basis; Figure 3: 3-month cross-currency dollar basis using (Foreign government bill rate -- U.S. commercial paper rate); Figure 4: EURUSD 3-Month CIP Deviation: Libor and Alternative Basis Liquidity | |
| 505 | 8 | |a Figure 5: 3-month forward point bid-ask spread (forward point difference)Figure 6: Du, Tepper, and Verdelhan (2017) capital charge measure against 5-year Libor CIP trade; Figure 7: Cross-sectional variation in 3-month currency basis (10-17; 15-17); Figure 8: Outward investment in securities by Japanese financial institutions and IOER differential against US; Figure 9: Dynamic Markov-switching regression: Predicted State-one probability (3-month, Euro, 2010-2018M6); Figure 10: Estimated USDINDEX coefficient from 100-week rolling regression (3-month Euro/USD CIP deviations | |
| 505 | 8 | |a 95 percent confidence bands are shown)Tables; Table 1a: Pre-crisis weekly regression (3-month Libor rate, 2002-2006); Table 1b: Crisis period weekly regression (3-month Libor rate, 2007-2009); Table 1c: Post-crisis weekly regression (3-month Libor rate, 2010-2018M6); Table 2a: Pre-crisis IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2002-2006); Table 2b: Crisis period IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2007-2009) | |
| 505 | 8 | |a Table 2c: Post-crisis IV regressions (Commercial Paper-Treasury Bill rate instrument, 3-month deviations, 2010-2018M6)Table 3: Hypothesis 1 -- IOER Differences and CIP Deviations (3-month, weekly regression); Table 4: Hypothesis 2 -- Corporate Borrowing Conditions and CIP Deviations (5-year, monthly regression, 2010- 2016); Table 5: Hypothesis 3 -- Money Market Fund Holdings and CIP Deviations (3-month, monthly regression); Table 6: Hypothesis 4 -- Domestic VIX and CIP Deviations (3-month, 2010-2018M6); Table 7: Dynamic Markov-switching regression (3-month, Euro, 2010-2018M6) Figure | |
| 505 | 8 | |a Table 8: Correlation matrix of rolling USDINDEX coefficients (3-month basis, 2010-2017)Appendix; Table A1: Data Sources; Table A2: Baseline Regressions, Commercial Paper-Treasury Bill Rate Differences (3-month horizon); Table A3: Baseline Regressions (5-year horizon); Table A4: Interaction with Du, Tepper and Verdelhan (2017) capital charges (2002-2015, 5-year horizon, quarterly regression); Figure A5: Estimated USDINDEX coefficient from 100-week rolling regression (3-month CIP deviations) | |
| 650 | 0 | |a Foreign exchange market. |0 http://id.loc.gov/authorities/subjects/sh91004890 | |
| 650 | 0 | |a Foreign exchange rates. |0 http://id.loc.gov/authorities/subjects/sh91004893 | |
| 650 | 6 | |a Marché des changes. | |
| 650 | 6 | |a Taux de change. | |
| 650 | 7 | |a Foreign exchange market |2 fast | |
| 650 | 7 | |a Foreign exchange rates |2 fast | |
| 700 | 1 | |a Obstfeld, Maurice. | |
| 700 | 1 | |a Zhou, Haonan. | |
| 758 | |i has work: |a Covered interest parity deviations (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGj8Jm3R4ThqPMXBqhWGQC |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Cerutti, Eugenio M. |t Covered Interest Parity Deviations: Macrofinancial Determinants. |d Washington, D.C. : International Monetary Fund, ©2019 |
| 856 | 4 | 0 | |l FWS01 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2015064 |3 Volltext |
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Datensatz im Suchindex
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| _version_ | 1816882484357365760 |
| adam_text | |
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| author | Cerutti, Eugenio M. |
| author2 | Obstfeld, Maurice Zhou, Haonan |
| author2_role | |
| author2_variant | m o mo h z hz |
| author_facet | Cerutti, Eugenio M. Obstfeld, Maurice Zhou, Haonan |
| author_role | |
| author_sort | Cerutti, Eugenio M. |
| author_variant | e m c em emc |
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| contents | Cover; Contents; I. Introduction; II. CIP deviations before, during, and after the GFC; III. Other proposed factors affecting CIP deviations; IV. Time-varying explanatory power of aggregate U.S. dollar strength: evidence from time-series regressions; V. Conclusions; References; Figures; Figure 1: 3-month Libor cross-currency dollar basis; Figure 2: 5-year cross-currency dollar basis; Figure 3: 3-month cross-currency dollar basis using (Foreign government bill rate -- U.S. commercial paper rate); Figure 4: EURUSD 3-Month CIP Deviation: Libor and Alternative Basis Liquidity Figure 5: 3-month forward point bid-ask spread (forward point difference)Figure 6: Du, Tepper, and Verdelhan (2017) capital charge measure against 5-year Libor CIP trade; Figure 7: Cross-sectional variation in 3-month currency basis (10-17; 15-17); Figure 8: Outward investment in securities by Japanese financial institutions and IOER differential against US; Figure 9: Dynamic Markov-switching regression: Predicted State-one probability (3-month, Euro, 2010-2018M6); Figure 10: Estimated USDINDEX coefficient from 100-week rolling regression (3-month Euro/USD CIP deviations 95 percent confidence bands are shown)Tables; Table 1a: Pre-crisis weekly regression (3-month Libor rate, 2002-2006); Table 1b: Crisis period weekly regression (3-month Libor rate, 2007-2009); Table 1c: Post-crisis weekly regression (3-month Libor rate, 2010-2018M6); Table 2a: Pre-crisis IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2002-2006); Table 2b: Crisis period IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2007-2009) Table 2c: Post-crisis IV regressions (Commercial Paper-Treasury Bill rate instrument, 3-month deviations, 2010-2018M6)Table 3: Hypothesis 1 -- IOER Differences and CIP Deviations (3-month, weekly regression); Table 4: Hypothesis 2 -- Corporate Borrowing Conditions and CIP Deviations (5-year, monthly regression, 2010- 2016); Table 5: Hypothesis 3 -- Money Market Fund Holdings and CIP Deviations (3-month, monthly regression); Table 6: Hypothesis 4 -- Domestic VIX and CIP Deviations (3-month, 2010-2018M6); Table 7: Dynamic Markov-switching regression (3-month, Euro, 2010-2018M6) Figure Table 8: Correlation matrix of rolling USDINDEX coefficients (3-month basis, 2010-2017)Appendix; Table A1: Data Sources; Table A2: Baseline Regressions, Commercial Paper-Treasury Bill Rate Differences (3-month horizon); Table A3: Baseline Regressions (5-year horizon); Table A4: Interaction with Du, Tepper and Verdelhan (2017) capital charges (2002-2015, 5-year horizon, quarterly regression); Figure A5: Estimated USDINDEX coefficient from 100-week rolling regression (3-month CIP deviations) |
| ctrlnum | (OCoLC)1085162226 |
| dewey-full | 332.45 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.45 |
| dewey-search | 332.45 |
| dewey-sort | 3332.45 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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Introduction; II. CIP deviations before, during, and after the GFC; III. Other proposed factors affecting CIP deviations; IV. Time-varying explanatory power of aggregate U.S. dollar strength: evidence from time-series regressions; V. 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| id | ZDB-4-EBA-on1085162226 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:29:21Z |
| institution | BVB |
| isbn | 1484395255 9781484395257 |
| language | English |
| oclc_num | 1085162226 |
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| spelling | Cerutti, Eugenio M. Covered Interest Parity Deviations Washington, D.C. : International Monetary Fund, 2019. 1 online resource (37 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Print version record. Cover; Contents; I. Introduction; II. CIP deviations before, during, and after the GFC; III. Other proposed factors affecting CIP deviations; IV. Time-varying explanatory power of aggregate U.S. dollar strength: evidence from time-series regressions; V. Conclusions; References; Figures; Figure 1: 3-month Libor cross-currency dollar basis; Figure 2: 5-year cross-currency dollar basis; Figure 3: 3-month cross-currency dollar basis using (Foreign government bill rate -- U.S. commercial paper rate); Figure 4: EURUSD 3-Month CIP Deviation: Libor and Alternative Basis Liquidity Figure 5: 3-month forward point bid-ask spread (forward point difference)Figure 6: Du, Tepper, and Verdelhan (2017) capital charge measure against 5-year Libor CIP trade; Figure 7: Cross-sectional variation in 3-month currency basis (10-17; 15-17); Figure 8: Outward investment in securities by Japanese financial institutions and IOER differential against US; Figure 9: Dynamic Markov-switching regression: Predicted State-one probability (3-month, Euro, 2010-2018M6); Figure 10: Estimated USDINDEX coefficient from 100-week rolling regression (3-month Euro/USD CIP deviations 95 percent confidence bands are shown)Tables; Table 1a: Pre-crisis weekly regression (3-month Libor rate, 2002-2006); Table 1b: Crisis period weekly regression (3-month Libor rate, 2007-2009); Table 1c: Post-crisis weekly regression (3-month Libor rate, 2010-2018M6); Table 2a: Pre-crisis IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2002-2006); Table 2b: Crisis period IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2007-2009) Table 2c: Post-crisis IV regressions (Commercial Paper-Treasury Bill rate instrument, 3-month deviations, 2010-2018M6)Table 3: Hypothesis 1 -- IOER Differences and CIP Deviations (3-month, weekly regression); Table 4: Hypothesis 2 -- Corporate Borrowing Conditions and CIP Deviations (5-year, monthly regression, 2010- 2016); Table 5: Hypothesis 3 -- Money Market Fund Holdings and CIP Deviations (3-month, monthly regression); Table 6: Hypothesis 4 -- Domestic VIX and CIP Deviations (3-month, 2010-2018M6); Table 7: Dynamic Markov-switching regression (3-month, Euro, 2010-2018M6) Figure Table 8: Correlation matrix of rolling USDINDEX coefficients (3-month basis, 2010-2017)Appendix; Table A1: Data Sources; Table A2: Baseline Regressions, Commercial Paper-Treasury Bill Rate Differences (3-month horizon); Table A3: Baseline Regressions (5-year horizon); Table A4: Interaction with Du, Tepper and Verdelhan (2017) capital charges (2002-2015, 5-year horizon, quarterly regression); Figure A5: Estimated USDINDEX coefficient from 100-week rolling regression (3-month CIP deviations) Foreign exchange market. http://id.loc.gov/authorities/subjects/sh91004890 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Marché des changes. Taux de change. Foreign exchange market fast Foreign exchange rates fast Obstfeld, Maurice. Zhou, Haonan. has work: Covered interest parity deviations (Text) https://id.oclc.org/worldcat/entity/E39PCGj8Jm3R4ThqPMXBqhWGQC https://id.oclc.org/worldcat/ontology/hasWork Print version: Cerutti, Eugenio M. Covered Interest Parity Deviations: Macrofinancial Determinants. Washington, D.C. : International Monetary Fund, ©2019 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2015064 Volltext |
| spellingShingle | Cerutti, Eugenio M. Covered Interest Parity Deviations Cover; Contents; I. Introduction; II. CIP deviations before, during, and after the GFC; III. Other proposed factors affecting CIP deviations; IV. Time-varying explanatory power of aggregate U.S. dollar strength: evidence from time-series regressions; V. Conclusions; References; Figures; Figure 1: 3-month Libor cross-currency dollar basis; Figure 2: 5-year cross-currency dollar basis; Figure 3: 3-month cross-currency dollar basis using (Foreign government bill rate -- U.S. commercial paper rate); Figure 4: EURUSD 3-Month CIP Deviation: Libor and Alternative Basis Liquidity Figure 5: 3-month forward point bid-ask spread (forward point difference)Figure 6: Du, Tepper, and Verdelhan (2017) capital charge measure against 5-year Libor CIP trade; Figure 7: Cross-sectional variation in 3-month currency basis (10-17; 15-17); Figure 8: Outward investment in securities by Japanese financial institutions and IOER differential against US; Figure 9: Dynamic Markov-switching regression: Predicted State-one probability (3-month, Euro, 2010-2018M6); Figure 10: Estimated USDINDEX coefficient from 100-week rolling regression (3-month Euro/USD CIP deviations 95 percent confidence bands are shown)Tables; Table 1a: Pre-crisis weekly regression (3-month Libor rate, 2002-2006); Table 1b: Crisis period weekly regression (3-month Libor rate, 2007-2009); Table 1c: Post-crisis weekly regression (3-month Libor rate, 2010-2018M6); Table 2a: Pre-crisis IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2002-2006); Table 2b: Crisis period IV regressions (Commercial Paper-Treasury Bill rate as instrument, 3-month deviations, 2007-2009) Table 2c: Post-crisis IV regressions (Commercial Paper-Treasury Bill rate instrument, 3-month deviations, 2010-2018M6)Table 3: Hypothesis 1 -- IOER Differences and CIP Deviations (3-month, weekly regression); Table 4: Hypothesis 2 -- Corporate Borrowing Conditions and CIP Deviations (5-year, monthly regression, 2010- 2016); Table 5: Hypothesis 3 -- Money Market Fund Holdings and CIP Deviations (3-month, monthly regression); Table 6: Hypothesis 4 -- Domestic VIX and CIP Deviations (3-month, 2010-2018M6); Table 7: Dynamic Markov-switching regression (3-month, Euro, 2010-2018M6) Figure Table 8: Correlation matrix of rolling USDINDEX coefficients (3-month basis, 2010-2017)Appendix; Table A1: Data Sources; Table A2: Baseline Regressions, Commercial Paper-Treasury Bill Rate Differences (3-month horizon); Table A3: Baseline Regressions (5-year horizon); Table A4: Interaction with Du, Tepper and Verdelhan (2017) capital charges (2002-2015, 5-year horizon, quarterly regression); Figure A5: Estimated USDINDEX coefficient from 100-week rolling regression (3-month CIP deviations) Foreign exchange market. http://id.loc.gov/authorities/subjects/sh91004890 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Marché des changes. Taux de change. Foreign exchange market fast Foreign exchange rates fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh91004890 http://id.loc.gov/authorities/subjects/sh91004893 |
| title | Covered Interest Parity Deviations |
| title_auth | Covered Interest Parity Deviations |
| title_exact_search | Covered Interest Parity Deviations |
| title_full | Covered Interest Parity Deviations |
| title_fullStr | Covered Interest Parity Deviations |
| title_full_unstemmed | Covered Interest Parity Deviations |
| title_short | Covered Interest Parity Deviations |
| title_sort | covered interest parity deviations |
| topic | Foreign exchange market. http://id.loc.gov/authorities/subjects/sh91004890 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Marché des changes. Taux de change. Foreign exchange market fast Foreign exchange rates fast |
| topic_facet | Foreign exchange market. Foreign exchange rates. Marché des changes. Taux de change. Foreign exchange market Foreign exchange rates |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2015064 |
| work_keys_str_mv | AT ceruttieugeniom coveredinterestparitydeviations AT obstfeldmaurice coveredinterestparitydeviations AT zhouhaonan coveredinterestparitydeviations |