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Ideas and Coordination in Policymaking: The Financial Crisis of 2007–2009

✍ Scribed by JOHN GIEVE; COLIN PROVOST

Book ID
111063099
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
79 KB
Volume
25
Category
Article
ISSN
0952-1895

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Funding liquidity risk and deviations from interest-rate parity during the financial crisis of 2007–2009
✍ Cho-Hoi Hui; Hans Genberg; Tsz-Kin Chung 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 283 KB 👁 1 views

Significant deviations from covered interest parity were observed during the financial crisis of 2007-2009. This paper finds that before the failure of Lehman Brothers market-wide funding liquidity risk was the main determinant of these deviations measured by swap-implied US dollar (USD) interest ra