Credit Limits and Long-Term Covered Interest Arbitrage

Posted: 8 Feb 1998

See all articles by Mardi Dungey

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Luke Gower

Australian National University (ANU) - Research School of Social Sciences (RSSS)

Abstract

Covered interest parity seems to hold more strongly for short-term assets than for long-term assets. Credit limits have been suggested as a possible explanation of this phenomenon. This paper contests that hypothesis.

JEL Classification: L14, F31

Suggested Citation

Dungey, Mardi and Gower, Luke, Credit Limits and Long-Term Covered Interest Arbitrage . Available at SSRN: https://ssrn.com/abstract=57938

Mardi Dungey (Contact Author)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Luke Gower

Australian National University (ANU) - Research School of Social Sciences (RSSS) ( email )

Canberra, Australian Capital Territory 0200
Australia
+61-26-249-5540 (Phone)
+61-26-249-0767 (Fax)

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