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 …
PublishedClassicThe Journal of FinanceOnline 24 May 2018Published Jun 2018
Covered interest rate parity, the no-arbitrage cornerstone of currency forward pricing, is shown to be systematically and persistently violated among G10 currencies after the 2008 crisis, in ways that …
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" …
Online FirstJournal of Money, Credit and BankingOnline 29 Jul 2026
Drawing on the recent experience of seven advanced-economy central banks, this paper offers the first cross-country assessment of quantitative tightening (QT) — the unwinding of bond holdings …
The strength of the US dollar, the size of covered interest parity deviations and the growth of dollar-denominated cross-border bank lending move together in what the authors call a triangular …