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Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08

✍ Scribed by Naohiko Baba; Frank Packer

Book ID
116615395
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
311 KB
Volume
33
Category
Article
ISSN
0378-4266

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✍ 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