The covered interest rate parity (CIP) condition is a fundamental arbitrage relationship in
international finance. In this chapter, we review its breakdown during the Global Financial …

We infer risk-free rates from index option prices to estimate safe asset convenience yields in
10 G11 currencies. Countries' convenience yields increase linearly with the level of their …

This paper investigates the impact of central bank swap lines during the 2020 pandemic
using micro-level data. Institutions relying on these swap lines tend to be better capitalized …

• Effect of US monetary policy on CIP deviations–High-frequency evidence with theoretical
explanation• Effect of CIP deviations on synthetic dollar funding and capital flows–Through …

The corporate basis measures the price differences between bonds issued in dollars and
foreign currencies by the same corporate entity. In this paper, we propose a novel method to …

This paper investigates the impact of central bank swap lines during the 2020 pandemic
using micro-level data. Institutions relying on these swap lines tend to be better capitalised …

The corporate basis measures the price differences between bonds issued in dollars and
foreign currencies by the same corporate entity. In this paper, we propose a novel method to …

The research on forms of interest rate swap markets between China and the United States
under the background of fed rate hikes aims to determine the reason for using various types …