CIP Deviations, the Dollar, and Frictions in International Capital Markets
141 Pages Posted: 11 May 2021
There are 4 versions of this paper
CIP Deviations, the Dollar, and Frictions in International Capital Markets
Columbia Business School Research Paper
Number of pages: 69
Posted: 10 May 2021
Downloads
89
CIP Deviations, the Dollar, and Frictions in International Capital Markets
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-57
Number of pages: 141
Posted: 11 May 2021
You are currently viewing this paper
Downloads
53
Cip Deviations, the Dollar, and Frictions in International Capital Markets
NBER Working Paper No. w28777
Number of pages: 70
Posted: 10 May 2021
Last Revised: 17 Feb 2023
Downloads
9
Cip Deviations, the Dollar, and Frictions in International Capital Markets
CEPR Discussion Paper No. DP16124
Number of pages: 72
Posted: 14 May 2021
Date Written: May 10, 2021
Abstract
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.
JEL Classification: E0,F0,G0
Suggested Citation: Suggested Citation
Du, Wenxin and Schreger, Jesse, CIP Deviations, the Dollar, and Frictions in International Capital Markets (May 10, 2021). University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-57, Available at SSRN: https://ssrn.com/abstract=3843204 or http://dx.doi.org/10.2139/ssrn.3843204
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.