A Model of Covered Interest Arbitrage under Market Segmentation

Lloyd P. Blenman

40 citations0/0 files storedJournal of money credit and banking

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Existing models of covered interest arbitrage typically assume market participants have equal capital and foreign exchange market access. This paper derives sufficient conditions for the existence of neutral interest parity forward price bands when capital markets are segmented and exchange rates are dually quoted. All forward price intervals are completely characterized in terms of simultaneous two-way and one-way arbitrage flow possibilities. The parameters of the no-arbitrage price region are shown to be established on the basis of relative advantage with respect to the set of available arbitrage strategies. Copyright 1991 by Ohio State University Press.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

1974An equilibrium model of the international capital market 1985International Asset Pricing under Mild Segmentation: Theory and Test 1981On the Effects of Barriers to International Investment 1974International capital market equilibrium with investment barriers 1986A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership 1977Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods 1988Transactions Costs and Covered Interest Arbitrage: Theory and Evidence 1969The Minimum Covered Interest Differential Needed for International Arbitrage Activity

Cited by

2012How does fiscal policy react to wealth composition and asset prices?

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.