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CIP Deviations, the Dollar, and Frictions in International Capital Markets / Wenxin Du, Jesse Schreger.
- Format:
- Book
- Author/Creator:
- Du, Wenxin.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28777.
- NBER working paper series no. w28777
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- The covered interest rate parity (CIP) condition is a fundamental arbitrage relationship in international finance. In this chapter, we review its breakdown during the Global Financial Crisis and its continued failure in the subsequent decade. We review how to measure CIP deviations, discuss the drivers of CIP deviations, and the implications of CIP deviations for global financial markets.
- Notes:
- Print version record
- May 2021.
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