利差平价套利

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2022-05-18 DOI:10.1093/rfs/hhac026

Dagfinn Rime, Andreas Schrimpf, O. Syrstad

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引用次数: 24

摘要

为了理解与覆盖利率平价（CIP）的偏差，至关重要的是要考虑到银行和货币领域融资成本的异质性。对于大多数市场参与者来说，当使用边际融资成本和无风险投资工具实施时，无套利关系相当成立。然而，一些高评级银行确实享受CIP套利机会。交易商通过诱导高评级银行的反向（套利）流动，避免了评级较低的银行使用外汇掉期来获得美元资金而导致的库存失衡。然而，套利交易很难扩大规模，因为套利者一旦增加头寸，融资成本就会增加。

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Covered Interest Parity Arbitrage

To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.