Arbitrage in the foreign exchange market: Turning on the microscope

By Q. Akram, Dagfinn Rime, Lucio Sarno. 2008

374 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dc7ef0ec2f436dc24f4851c47fcf715a7596aeff

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Citations in the corpus

Volatility Risk Premia and Exchange Rate Predictability (2016, positive): “Since CIP holds closely in the data at daily and lower frequencies (e.g., Akram, Rime, and Sarno, 2008), the currency excess return is approximately equal to an exchange rate component (i.e., the exchange rate change) minus an interest rate component (i.e., the interest rate differential): RXt+1 '…”
Currency Momentum Strategies (2012, positive): “Akram, Rime, and Sarno (2008) show empirically that CIP holds even at very short horizons.”
Trade Network Centrality and Currency Risk Premia (2019, positive): “Assuming that covered interest parity holds4, forward spreads 3The data can be obtained through Datastream 4Akram et al. (2008) provide evidence that covered interest parity typically holds at daily frequencies.”
Crash-Neutral Currency Carry Trades (2014, neutral): “the in-sample estimates of an EGARCH(1, 1) model, the standardized monthly (log) return innovations remain non-Gaussian, consistent with the presence of jumps (Panel B of Table I).”
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, neutral): “The four that stand out are Taylor (1989), Rhee and Chang (1992), Akram, Rime, and Sarno (2008) and Fong, Valente, and Fung (2010).”
On financial risk and the safe haven characteristics of Swiss franc exchange rates (2015, background): “Interest rate differentials are approximately equal to forward discounts at least at the monthly frequency that we consider (e.g. Akram et al., 2008), such that ikt−it≈ f k t−s k t ð2Þ with ftk the log forward exchange rate.”
Currency Premia and Global Imbalances (2016, positive): “Since CIP holds closely in the data (e.g., Akram, Rime, and Sarno, 2008), the currency excess return is approximately equal to the exchange rate return (i.e., (St+1 St) =St) plus the interest rate di¤erential relative to the US (i.e., i t it).”
Carry Trades and Global Foreign Exchange Volatility (2012, neutral): “Sorting on forward discounts is equivalent to sorting on interest rate differentials since covered interest parity holds closely in the data at the frequency analyzed in this paper (see, for example, Akram, Rime, and Sarno (2008)).”