违反担保利率平价的期限结构

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-03-31 DOI:10.1111/jofi.13336

PATRICK AUGUSTIN, MIKHAIL CHERNOV, LUKAS SCHMID, DONGHO SONG

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引用次数: 0

摘要

我们量化了基于风险和非基于风险的中介约束（IC）对违反担保利率平价（CIP）的期限结构的影响。利用从利率掉期推断出的随机贴现因子（SDF），我们对货币衍生品进行了估值。由于我们的 SDF 包含了基于风险的 IC，因此模型推测的衍生品价格与观察到的衍生品价格之间的楔形反映了非基于风险的 IC 的影响。短期内没有楔形，而楔形占长期 CIP 违规行为的 40%。与集成电路理论一致，楔形与中介资本的影子成本相关，而 SDF 暗示的利率是有抵押和无抵押利率的加权平均值。

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The Term Structure of Covered Interest Rate Parity Violations

We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF-implied interest rate is a weighted average of collateralized and uncollateralized interest rates.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.