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Alfred Wong

Research Department staff · Hong Kong Monetary Authority

Economist in the Research Department of the Hong Kong Monetary Authority as of 2018. The paper with Jiayue Zhang studies cross-currency basis swaps and covered interest parity deviations.

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Published Classic FIW Working Paper Published Feb 2018

Breakdown of covered interest parity: mystery or myth?

Alfred Wong · Jiayue Zhang

Cross-currency basis swap spreads are widely read as a post-crisis anomaly in which covered interest parity has broken down; this paper argues the opposite -- that a swap dealer who priced a …

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