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Covered interest parity lost: understanding the cross-currency basis
5 references·16 citing·45 second hop
Covered interest parity lost: understanding the cross-currency basis (2016)Covered interest parity lost: understandi…Unconventional Monetary Policies: An Appraisal (2010)Unconventional Monetary Polic…Global Banks and International Shock Transmission: Evidence from the Crisis (2010)Global Banks and Internationa…The US dollar shortage in global banking (2009)The US dollar shortage in glo…From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers (2009)From Turmoil to Crisis: Dislo…The Limits of Arbitrage (1995)The Limits of ArbitrageThe Global Dollar Cycle (2023)The Global Dollar CycleCovered Interest Parity Arbitrage (2022)Covered Interest Parity Arbit…Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy (2022)Capital controls, domestic ma…Are Intermediary Constraints Priced? (2022)Are Intermediary Constraints …CIP Deviations, the Dollar, and Frictions in International Capital Markets (2021)CIP Deviations, the Dollar, a…Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort (2021)Central Bank Swap Lines: Evid…Arbitrage Capital of Global Banks (2021)Arbitrage Capital of Global B…Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows (2020)Taper Tantrums: Quantitative …Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads (2019)Sovereign credit risk and exc…Financial deglobalisation in banking? (2019)Financial deglobalisation in …Are Intermediary Constraints Priced? (2019)Are Intermediary Constraints …The Dynamics of Financially Constrained Arbitrage (2018)The Dynamics of Financially C…Central Bank Swap Lines (2018)Central Bank Swap LinesSegmented Money Markets and Covered Interest Parity Arbitrage (2017)Segmented Money Markets and C…Monetary Policy and Global Banking (2017)Monetary Policy and Global Ba…Asset Prices and Macroeconomic Outcomes: A Survey (2017)Asset Prices and Macroeconomi…A General Equilibrium Approach To Monetary Theory (1969)Financing Constraints and Corporate Investment (1988)Credit Cycles (1997)Global Imbalances and the Financial Crisis: Link or No Link? (2011)The ECB's non-standard monetary policy measures: the role of institutional factors and financial structure (2012)Unconventional monetary policies: a re-appraisal (2018)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A New Database on the Structure and Development of the Financial Sector (2000)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market (2008)Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs (2010)The Flight Home Effect: Evidence from the Syndicated Loan Market During Financial Crises (2010)Multinational Firms and International Business Cycle Transmission (2016)Market Liquidity and Funding Liquidity (2008)Market Liquidity—Theory and Empirical Evidence (2013)Liquidity Risk and the Dynamics of Arbitrage Capital (2014)The Economy as an Evolving Complex System II (2018)ESG Preference, Institutional Trading, and Stock Return Patterns (2020)Exchange Rate Dynamics Redux (1995)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)The International Spillover Effects of US Monetary Policy Uncertainty (2020)Covered interest parity deviations: Macrofinancial determinants (2021)Spillovers at the extremes: The macroprudential stance and vulnerability to the global financial cycle (2022)“Options, Futures, and Other Derivatives” (2016)Volatility, intermediaries, and exchange rates (2021)A Black Swan in the Money MarketConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Crash Risk in Currency Markets (2009)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Effects of global financial crisis on network structure in a local stock market (2014)Common risk factors in the returns on stocks and bonds (1993)The Hedging Channel of Exchange Rate Determination * (2020)International macroeconomics with imperfect financial markets (2022)Lombard Street: A Description of the Money Market (1873)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Rethinking exchange rate regimes (2022)Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity (2009)US dollar money market funds and non-US banks (2009)Shadow Banking: The Money View (2014)
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References

  • 1995The Limits of Arbitrage5,282 cited
  • 2010Unconventional Monetary Policies: An Appraisal290 cited
  • 2009From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers226 cited
  • 2010Global Banks and International Shock Transmission: Evidence from the Crisis218 cited
  • 2009The US dollar shortage in global banking154 cited

Cited by

  • 2020Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows116 cited
  • 2018The Dynamics of Financially Constrained Arbitrage104 cited
  • 2021Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort87 cited
  • 2022Covered Interest Parity Arbitrage86 cited
  • 2022Are Intermediary Constraints Priced?81 cited
  • 2019Financial deglobalisation in banking?77 cited
  • 2017Segmented Money Markets and Covered Interest Parity Arbitrage74 cited
  • 2019Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads71 cited
  • 2017Monetary Policy and Global Banking46 cited
  • 2021Arbitrage Capital of Global Banks45 cited

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2021
CIP Deviations, the Dollar, and Frictions in International Capital Markets
45 cited
  • 2018Central Bank Swap Lines41 cited
  • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited
  • 2019Are Intermediary Constraints Priced?35 cited
  • 2023The Global Dollar Cycle30 cited
  • 2022Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy23 cited