Interpreting Deviations from Covered Interest Parity During the Financial Market Turmoil of 2007-08
By N. Baba, Frank Packer. 2009
265 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/59ef70c3692603975bf2f4e47345754d91941201
How researchers see this paper
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In Economics and Econometrics
- P. McGuire
- Tommaso Mancini-Griffoli
- Goetz von Peter
- Angelo Ranaldo
- Nikolaus Hautsch
- Axel Groß-Klußmann
In Finance
- P. McGuire
- Tommaso Mancini-Griffoli
- Goetz von Peter
- Angelo Ranaldo
- Nikolaus Hautsch
- Axel Groß-Klußmann
Citations in the corpus
- Deviations from Covered Interest Rate Parity (2018, unknown): “The establishment of the Fed swap lines with various foreign central banks, which alleviated the dollar shortage, significantly reduced the magnitude of the cross-currency basis (Baba and Packer, 2009; Goldberg, Kennedy, and Miu, 2011; and McGuire and von Peter, 2012). Building on our work, CIP devi”
- Global Imbalances and the Financial Crisis: Link or No Link? (2011, unknown): “This explains the surprising funding squeeze that hit these banks’ (and others’) US dollar positions, and the associated serious disruptions in foreign exchange swap markets – the socalled US dollar shortage (Graph 9, right-hand panel; see Baba et al. (2008, 2009), Baba and Packer (2008)).”
- Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, background): “The studies include Baba, Packer, and Nagano (2008), later expanded into Baba and Packer (2008, 2009), as well as Coffey, Hrung, Nguyen, and Sarkar (2009), Genberg, Hui, Wong, and Chung (2009) and Jones (2009).”
- The US Dollar Shortage in Global Banking (2009, background): “The related dislocations in FX swap markets made it even more expensive to obtain US dollars via currency swaps (Baba and Packer (2008)), as US dollar funding requirements exceeded similar funding needs in other currencies.”
- The US Dollar Shortage in Global Banking and the International Policy Response (2009, unknown): “The related dislocations in FX swap markets made it even more expensive to obtain US dollars via currency swaps (Baba and Packer (2009a)), as European banks’ US dollar funding requirements exceeded other entities’ funding needs in other currencies.”