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Applied Economics Letters Volume 26, 2019 - Issue 20
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Articles

Forex swap premiums, shock response and covered profits: an ARDL–EGARCH model analysis

Jianfeng HuangZhejiang A&F University, Hangzhou, ChinaView further author information
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Wencong LuZhejiang University, Hangzhou, ChinaCorrespondence[email protected]
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Pages 1705-1708 | Published online: 29 Mar 2019

References

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  • Baba, N., and P. Frank. 2009. “Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08.” Journal of Banking & Finance 33 (11): 1953–1962. doi:10.1016/j.jbankfin.2009.05.007.
  • Du, W., A. Tepper, and A. Verdelhan. 2018. “Deviations from Covered Interest Rate Parity.” Journal of Finance 73 (3): 915–957. doi:10.1111/jofi.12620.
  • Liu, H. C., and M. D. Witte. 2013. “The Microstructure of Covered Interest Arbitrage in a Market with a Dominant Market Maker.” Journal of International Financial Markets, Institutions & Money 24 (C): 25–41. doi:10.1016/j.intfin.2012.11.012.
  • Officer, L. H., and T. D. Willett. 1970. “The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments.” Journal of Money, Credit & Banking 2 (2): 247–257. doi:10.2307/1991006.
  • Rime, D., A. Schrimpf, and O. Syrstad. 2017. “Segmented Money Markets and Covered Interest Parity Arbitrage.” BIS Working Paper, 651.
  • Stock, J. H., and M. W. Watson. 2011. Introduction to Econometrics. 3rd ed. New Jersey: Pearson Education.
  • Sushko, V., C. Borio, R. McCauley, and P. McGuire. 2016. “The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets.” BIS Working Paper, 590.
  • Taylor, M. P. 1989. “Covered Interest Arbitrage and Market Turbulence.” Economic Journal 99 (396): 376–391. doi:10.2307/2234031.

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