A Handbook chapter reviewing the breakdown of covered interest rate parity during the Global Financial Crisis and its persistence through the following decade -- how the cross-currency basis is …
Using a new security-level dataset covering $32 trillion in global investment positions, this paper establishes that the currency a bond is denominated in -- not the nationality of its issuer -- is …
PublishedClassicThe Journal of FinanceOnline 11 May 2016Published Jun 2016
Emerging-market governments that borrow in their own currency still pay a measurable default premium: stripping out currency risk with cross-currency swaps leaves a "local currency credit spread" …
PublishedClassicQuarterly Journal of EconomicsOnline 3 May 2021Published Jun 2021
Because global firms raise capital through subsidiaries incorporated in tax havens, official residency-based statistics attribute those securities to the haven rather than to the parent's country; …
US court rulings in Republic of Argentina v. NML Capital moved the market-implied probability that Argentina would default on its restructured bonds without carrying any news about the Argentine …