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| Tekijä: | Fletcher, D. Taylor, L. |
| Otsikko: | "Swap" covered interest parity in long-date capital markets |
| Lehti: | Review of Economics and Statistics
1996 : AUG, VOL. 78:3, p. 530-538 |
| Asiasana: | CAPITAL MARKETS STATISTICS ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | Using the currency swap as the forward-exchange risk hedge, the covered interest parity condition in the long-date capital markets in evaluated. Of interest is the extent to which deviations from parity can be attributed to transactions costs. The empirical conclusions presented in the paper suggest that although transactions costs account for deviations from parity, net deviations in excess of transactions costs are neither rare nor short-lived. |
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