Olav Syrstad

Norges Bank

P.O. Box 1179

Oslo, N-0107

Norway

SCHOLARLY PAPERS

4

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84

Scholarly Papers (4)

1.
Downloads 1,016 ( 22,933)
Citation 29

Covered Interest Parity Arbitrage

Number of pages: 93 Posted: 05 Dec 2016 Last Revised: 16 Mar 2019
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 850 (29,195)
Citation 21

Abstract:

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Covered Interest Parity, Money Market Segmentation, Funding Liquidity Risk Premia, FX Swap Market, US Dollar Funding

Segmented Money Markets and Covered Interest Parity Arbitrage

Norges Bank Working Paper 15/17; ISBN: 978-82-7553-995-1
Number of pages: 75 Posted: 24 Oct 2017
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 85 (317,186)
Citation 13

Abstract:

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Covered Interest Parity; Money Market Segmentation; Funding Liquidity Premia; FX Swap Market; U.S. Dollar Funding

Segmented Money Markets and Covered Interest Parity Arbitrage

BIS Working Paper No. 651
Number of pages: 81 Posted: 12 Jul 2017
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 78 (334,302)

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Covered interest parity, money market segmentation, funding liquidity premia, FX swap market, U.S. dollar funding

Covered Interest Parity Arbitrage

CEPR Discussion Paper No. DP13637
Number of pages: 105 Posted: 01 Apr 2019
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 3 (702,160)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

2.

Does Publication of Interest Rate Paths Provide Guidance?

Journal of International Money and Finance, Forthcoming
Number of pages: 42 Posted: 05 Dec 2018 Last Revised: 06 Dec 2019
BI Norwegian Business School - Department of Economics, BI Norwegian Business School and Norges Bank
Downloads 31 (493,755)
Citation 1

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monetary policy, interest rate paths, forward guidance, high-frequency data, forecasts

3.

Life After LIBOR

Number of pages: 50 Posted: 06 Jun 2019
Sven Klingler and Olav Syrstad
BI Norwegian Business School and Norges Bank
Downloads 62

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Benchmark Rates, Financial Regulation, Libor, Repo Rates, Collateral

4.

Does Covered Interest Parity hold in long-dated securities?

Number of pages: 57
Olav Syrstad
Norges Bank
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Covered Interest Parity, FX-swaps, Libor, Corporate bonds, Arbitrage, Securities Lending