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Original Articles

Is covered interest parity arbitrage extinct? Evidence from the spot USD/Yen

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Pages 283-287 | Published online: 09 May 2008

References

  • Bank for International Settlements (BIS) (2005) Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2004, Bank for International Settlements, Basle, Switzerland
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  • Peel , D. A. and Taylor , M. P. 2002 . Covered interest rate arbitrage in the interwar period and the Keynes-Einzig conjecture . Journal of Money, Credit and Banking , 34 : 51 – 75 .
  • Poitras , G. 1988 . Arbitrage boundaries, treasury bills, and covered interest parity . Journal of International Money and Finance , 7 : 429 – 45 .
  • Popper , H. 1993 . Long-term covered interest parity: evidence from currency swaps . Journal of International Money and Finance , 12 : 439 – 48 .
  • Taylor , M. P. 1987 . Covered interest parity: a high-frequency, high-quality data study . Economica , 54 : 429 – 38 .
  • Taylor , M. P. 1989 . Covered interest arbitrage and market turbulence . Economic Journal , 99 : 376 – 91 .

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