The Term Structure of Covered Interest Rate Parity Violations
收藏NBER2020-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w27231
下载链接
链接失效反馈官方服务：
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
