Abstract
This paper evaluates the deviation from covered interest rate parity (CIP)
after the great financial crisis. As a new phenomenon, this deviation has
been approached both theoretically (violating the no arbitrage condition)
and empirically. Through an extensive literature review, this study maps
the possible drivers of the deviation and their proxies. We apply the
analysis on a set of countries that are not yet explored in the related
literature so far, even though represent a significant part of the foreign
exchange market. Regarding the results, a significant weight in the
financial drivers is obtained. The result claims for a deeper analysis and
opens the possibility to evaluate this phenomenon under a new
perspective.
Fernando Chertman. (2020) Deviations From Covered Interest Rate Parity: Evaluating Drivers for Changes, Journal of Quantitative Methods, Volume 4, Issue 2.
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