The Term Structure of Covered Interest Rate Parity Violations
收藏NBER2020-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w27231
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资源简介：
We quantify the impact of risk-based and non-risk-based intermediary constraints (IC) on the term structure of CIP violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices
提供机构：
美国国家经济研究局
创建时间：
2020-05-01
