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Capital Markets

5 papers tracked 0 forthcoming 3 classics
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Published Classic The Journal of Finance Online 24 May 2018 Published Jun 2018
Deviations from Covered Interest Rate Parity

Wenxin Du · Alexander Tepper · Adrien Verdelhan

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 …

Published Classic Journal of International Money and Finance Published Jul 2019
Home country interest rates and international investment in U.S. bonds

John Ammer · Stijn Claessens · Alexandra Tabova · Caleb Wroblewski

When the sovereign yield in an investor's own country falls, that country's private investors hold more U.S. bonds and tilt the mix toward riskier corporate debt rather than Treasuries. Across 31 …