What do deviations from covered interest parity and higher FX hedging costs mean for Asia?

DOI10.1007/S11079-020-09594-3MaRDI QIDQ2047017zbMATH OpenOpenAlexFDO

Authors Gee Hee Hong, Anne Oeking, K.-H. Kang, Changyong Rhee

Publication date 19 August 2021

Published in Open Economies Review (Search for Journal in Brave)

Full work available at URL http://www.imf.org/external/pubs/cat/longres.aspx?sk=48531

zbMATH Keywords

covered interest parityFX swapslimits to arbitrageUS dollar funding

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Currency swaps and long-term covered interest parity
• Exchange rate policies at the zero lower bound
• Exchange rate regime credibility, the agency cost of capital and devaluation.
• Dollar funding and the lending behavior of global banks
• Investigating asymmetric determinants of the CNY-CNH exchange rate spreads: the role of economic policy uncertainty

Cites work

• Addressing international empirical puzzles: the liquidity of bonds
• Dollar funding and the lending behavior of global banks
• Imports, exports, dollar exposures, and stock returns
• Uncovered interest parity and monetary policy near and far from the zero lower bound

Cited in

(2)

• How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
• Currency swaps and long-term covered interest parity

This page was built for publication: What do deviations from covered interest parity and higher FX hedging costs mean for Asia?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2047017)