Limits to arbitrage and the term structure of CIP violations

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-31 DOI:10.1016/j.intfin.2024.102031

引用次数: 0

Abstract

We investigate the existence of a term structure in cross-currency swap bases, a measure for CIP violations, to identify limits to arbitrage in foreign exchange swap markets. Based on estimates from a multivariate model of USD cross-currency bases for G10 currencies that caters for a number of known intermediary constraints as well as linkages between currency pairs our findings highlight the importance of two-tiered arbitrage, risk aversion, regulation, and policy in explaining this term structure of CIP violations.

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套利的限制和 CIP 违规行为的期限结构

我们研究了跨货币掉期基数（一种衡量 CIP 违规行为的指标）中是否存在期限结构，以确定外汇掉期市场中套利的限制。我们的研究结果基于 G10 货币的美元交叉货币基数多变量模型的估计值，该模型考虑到了一些已知的中介限制以及货币对之间的联系，突出了双层套利、风险规避、监管和政策在解释这种违反 CIP 的期限结构方面的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.