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Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets

✍ Scribed by SHU WU

Book ID
110736009
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
144 KB
Volume
39
Category
Article
ISSN
0022-2879

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πŸ“œ SIMILAR VOLUMES

Covered arbitrage in foreign exchange ma
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment
✍ Batlin, Carl A. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 110 KB πŸ‘ 1 views

In a recent issue of this Journal, 1 Dilip Ghosh confuses the concept of a (known) forward interest rate with that of a (random) future short-term interest rate. As a result, both of his main conclusions-that combining interest rate forwards with foreign exchange (FX) forwards produces a new version

Covered arbitrage in foreign exchange ma
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply
✍ Ghosh, Dilip K. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 123 KB πŸ‘ 1 views

Comment on any work, published or unpublished, is always useful, and on that score I compliment Carl Batlin (1999) for his interesting observations on my work in this Journal (February, 1998). In my paper I have done three things: (i) redefined covered interest rate parity under a modified scenario,