What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia?
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DOI: 10.1007/s11079-020-09594-3
Abstract: Asian countries have high demand for US dollars and are sensitive to US dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market that… read more here.
Keywords: covered interest; funding; interest parity; deviations covered ... See more keywords
Credit migration and covered interest rate parity
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DOI: 10.1016/j.jfineco.2020.06.002
Abstract: I document economically large and persistent discrepancies in the pricing of credit risk between corporate bonds denominated in different currencies. This violation of the Law-of-One-Price (LOOP) in credit risk is closely aligned with violations of… read more here.
Keywords: rate parity; covered interest; credit; rate ... See more keywords