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
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The intraday interest rate under a liquidity crisis: The case of August 2007
β Scribed by Angelo Baglioni; Andrea Monticini
- Book ID
- 116422510
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 138 KB
- Volume
- 107
- Category
- Article
- ISSN
- 0165-1765
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