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The Term Structure of Covered Interest Rate Parity Violations
16 references·2 citing·45 second hopsampled
The Term Structure of Covered Interest Rate Parity Violations (2024)The Term Structure of Covered Interest Ra…Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)Foreign Safe Asset Demand and…Deviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…Intermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…The Liquidity Premium of Near-Money Assets* (2016)The Liquidity Premium of Near…Measuring Uncertainty (2015)Measuring UncertaintyDollar Funding and the Lending Behavior of Global Banks* (2015)Dollar Funding and the Lendin…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Financial Intermediaries and …Limits to arbitrage and hedging: Evidence from commodity markets (2013)Limits to arbitrage and hedgi…The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Margin-based Asset Pricing an…The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…The Hedging Channel of Exchange Rate Determination (2024)The Hedging Channel of Exchan…The Global Credit Spread Puzzle (2024)The Global Credit Spread Puzz…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Are Government Bonds Net Wealth? (1974)A Macroprudential Approach to Financial Regulation (2011)Monetary Policy as Financial Stability Regulation (2012)The Deposits Channel of Monetary Policy* (2017)Asset pricing and the bid-ask spread (1986)The Limits of Arbitrage (1995)Credit Cycles (1997)Limits of Arbitrage (2010)Evaporating Liquidity (2012)Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)A five-factor asset pricing model (2014)Short and Long Horizon Behavioral Factors (2017)Taming the Factor Zoo: A Test of New Factors (2020)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The Impact of Uncertainty Shocks (2009)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)The Time Variation in Risk Appetite and Uncertainty (2021)An equilibrium characterization of the term structure (1977)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Agency Costs, Net Worth, And Business Fluctuations (1988)Market Liquidity and Funding Liquidity (2008)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Exchange Rate Disconnect in General Equilibrium (2021)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)
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References

  • 2015Measuring Uncertainty2,908 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2012The Aggregate Demand for Treasury Debt1,591 cited
  • 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2017Intermediary asset pricing: New evidence from many asset classes792 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited
  • 2016The Liquidity Premium of Near-Money Assets*445 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 2013Limits to arbitrage and hedging: Evidence from commodity markets371 cited
  • 2015Dollar Funding and the Lending Behavior of Global Banks*357 cited
  • 2021Foreign Safe Asset Demand and the Dollar Exchange Rate

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331 cited

Cited by

  • 2024The Hedging Channel of Exchange Rate Determination33 cited
  • 2024The Global Credit Spread Puzzle20 cited