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Published in 2021 at "Journal of Money, Credit and Banking"
DOI: 10.1111/jmcb.12849
Abstract: We consider an arbitrage strategy that exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflationâlinked bonds. The strategy reveals a violation of the law of one price in the…
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Keywords:
arbitrage international;
arbitrage;
sovereign debt;
debt markets ... See more keywords