The Term Structure of Covered Interest Rate Parity Violations
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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
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美国国家经济研究局创建时间：
2020-05-01
