LAUSR

Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries

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1 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 inflation‐linked bonds. The strategy reveals a violation of the law of one price in the… read more here.

Keywords: arbitrage international; arbitrage; sovereign debt; debt markets ... See more keywords