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Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar
10 references·1 citing·49 second hop
Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar (2017)Monetary policy and covered interest pari…Macroprudential policy under high capital mobility: policy implications from an academic perspective (2016)Macroprudential policy under …Central bank swap line effectiveness during the euro area sovereign debt crisis (2013)Central bank swap line effect…Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)Financial Intermediation and …Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs (2010)Central Bank Dollar Swap Line…Selective swap arrangements and the global financial crisis: Analysis and interpretation (2009)Selective swap arrangements a…From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers (2009)From Turmoil to Crisis: Dislo…Covered interest arbitrage profits: The role of liquidity and credit risk (2009)Covered interest arbitrage pr…Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity (2009)Capital Constraints, Counterp…A Black Swan in the Money Market (2008)A Black Swan in the Money Mar…A Black Swan in the Money MarketA Black Swan in the Money Mar…Predicting exchange rate returns (2019)Predicting exchange rate retu…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Credit Spreads and Business Cycle Fluctuations (2012)A Macroeconomic Model with a Financial Sector (2014)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Convective Risk Flows in Commodity Futures Markets (2014)The CDS‐bond basis (2018)Credit migration and covered interest rate parity (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)International Cooperation and Central Banks (2016)On the Impossibility of Informationally Efficient Markets (1980)A stochastic dominance analysis of yen carry trades (2009)Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity (2011)Execution Risk in High-Frequency Arbitrage (2012)Noise Trader Risk in Financial Markets (1990)What matters for financial development? Capital controls, institutions, and interactions (2005)This Time Is Different (2009)Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination (2021)Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination (2022)Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities (2023)Bank Runs, Deposit Insurance, and Liquidity (1983)Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Unit root tests in panel data: asymptotic and finite-sample properties (2002)International reserves and swap lines: Substitutes or complements? (2011)The financial crisis and sizable international reserves depletion: From ‘fear of floating’ to the ‘fear of losing international reserves’? (2012)A new financial order in Asia: Will a RMB bloc emerge? (2017)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)The black swan: the impact of the highly improbable (2007)Credit Frictions and Optimal Monetary Policy (2009)Hedge Fund Contagion and Liquidity Shocks (2010)Over the Cliff: From the Subprime to the Global Financial Crisis (2011)Rollover Risk and Credit Risk (2012)Global Banks and International Shock Transmission: Evidence from the Crisis (2010)The US as ‘Sovereign International Last-Resort Lender’: The Fed's Currency Swap Programme during the Great Panic of 2007–09 (2011)Banking Globalization and Monetary Transmission (2012)Global implications of national unconventional policies (2013)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Expectations, Open Market Operations, and Changes in the Federal Funds Rate (2001)Bank Activity and Funding Strategies: The Impact on Risk and Return (2009)The Effect of Financial Crisis in Corporate Social Responsibility Performance (2011)The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets (2020)Crash Risk in Currency Markets (2009)Covered interest parity lost: understanding the cross-currency basis (2016)
this work references cited by second hop

References

  • 2010Financial Intermediation and Credit Policy in Business Cycle Analysis1,986 cited
  • n.d.A Black Swan in the Money Market610 cited
  • 2009From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers226 cited
  • 2010Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs176 cited
  • 2008A Black Swan in the Money Market148 cited
  • 2009Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity142 cited
  • 2009Selective swap arrangements and the global financial crisis: Analysis and interpretation132 cited
  • 2009Covered interest arbitrage profits: The role of liquidity and credit risk73 cited
  • 2016Macroprudential policy under high capital mobility: policy implications from an academic perspective38 cited
  • 2013Central bank swap line effectiveness during the euro area sovereign debt crisis30 cited

Cited by

  • 2019Predicting exchange rate returns23 cited

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