Funding liquidity risk and deviations fr
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Cho-Hoi Hui; Hans Genberg; Tsz-Kin Chung
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Article
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2010
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John Wiley and Sons
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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