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Currency swaps and long-term covered interest parity
2 references·3 citing·24 second hop
Currency swaps and long-term covered interest parity (1995)Currency swaps and long-term covered inte…Long-term covered interest parity: evidence from currency swaps (1993)Long-term covered interest pa…Swaps: Plain and Fanciful (1992)Swaps: Plain and FancifulOptimal size of currency swap between central banks: evidence from China (2012)Optimal size of currency swap…Dynamic Spillover of Money Market Turmoil from FX Swap to Cross-Currency Swap Markets: Evidence from the 2007–2008 Turmoil (2009)Dynamic Spillover of Money Ma…A non-parametric analysis of covered interest parity in long-date capital markets (1994)A non-parametric analysis of …The Interest Rate Parity Theorem: A Reinterpretation (1973)Capital Controls, Political Risk, and Deviations from Interest-Rate Parity (1980)International Capital Mobility in the 1990s (1993)The fundamental determinants of financial integration in the European Union (1996)Foreign currency-denominated borrowing in the absence of operating incentives☆ (2007)Term Structure of Interest Rates (2008)Covered Interest Arbitrage: Unexploited Profits? (1975)Forward and spot exchange rates (1984)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Distribution Free Newsboy Problem: Review and Extensions (1993)A Min-Max Solution of an Inventory Problem (2005)The Social Cost of Foreign Exchange Reserves (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads (2012)Dollar Funding and the Lending Behavior of Global Banks (2012)The Geography of Funding Markets and Limits to Arbitrage (2014)Job Market Signaling (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps (1997)Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (2001)The Impact of Collateralization on Swap Rates (2007)
this work references cited by second hop

References

  • 1992Swaps: Plain and Fanciful126 cited
  • 1993Long-term covered interest parity: evidence from currency swaps100 cited

Cited by

  • 2009Dynamic Spillover of Money Market Turmoil from FX Swap to Cross-Currency Swap Markets: Evidence from the 2007–2008 Turmoil27 cited
  • 1994A non-parametric analysis of covered interest parity in long-date capital markets24 cited
  • 2012Optimal size of currency swap between central banks: evidence from China19 cited

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