Download This PaperCIP Deviations, the Dollar, and Frictions in International Capital Markets
141 Pages Posted: 11 May 2021
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CIP Deviations, the Dollar, and Frictions in International Capital Markets
Columbia Business School Research Paper
Number of pages: 69
Posted: 10 May 2021
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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
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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
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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
Wenxin Du (Contact Author)
University of Chicago Booth School of Business ( email )
5807 South Woodlawn Avenue
Chicago, IL 60637
United States
Jesse Schreger
Columbia University - Columbia Business School, Economics ( email )
420 West 118th Street
New York, NY 10027
United States
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