利差平价套利

IF 6.8 1区 经济学 Q1 BUSINESS, FINANCE Review of Financial Studies Pub Date : 2022-05-18 DOI:10.1093/rfs/hhac026
Dagfinn Rime, Andreas Schrimpf, O. Syrstad
{"title":"利差平价套利","authors":"Dagfinn Rime, Andreas Schrimpf, O. Syrstad","doi":"10.1093/rfs/hhac026","DOIUrl":null,"url":null,"abstract":"\n To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":" ","pages":""},"PeriodicalIF":6.8000,"publicationDate":"2022-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"24","resultStr":"{\"title\":\"Covered Interest Parity Arbitrage\",\"authors\":\"Dagfinn Rime, Andreas Schrimpf, O. Syrstad\",\"doi\":\"10.1093/rfs/hhac026\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.\",\"PeriodicalId\":21124,\"journal\":{\"name\":\"Review of Financial Studies\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":6.8000,\"publicationDate\":\"2022-05-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"24\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Financial Studies\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/rfs/hhac026\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Financial Studies","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/rfs/hhac026","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 24

摘要

为了理解与覆盖利率平价(CIP)的偏差,至关重要的是要考虑到银行和货币领域融资成本的异质性。对于大多数市场参与者来说,当使用边际融资成本和无风险投资工具实施时,无套利关系相当成立。然而,一些高评级银行确实享受CIP套利机会。交易商通过诱导高评级银行的反向(套利)流动,避免了评级较低的银行使用外汇掉期来获得美元资金而导致的库存失衡。然而,套利交易很难扩大规模,因为套利者一旦增加头寸,融资成本就会增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Covered Interest Parity Arbitrage
To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
16.00
自引率
2.40%
发文量
83
期刊介绍: The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.
期刊最新文献
Pay-As-You-Go Insurance: Experimental Evidence on Consumer Demand and Behavior Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets Gender Bias in Promotions: Evidence from Financial Institutions The Cost of Bank Regulatory Capital Desperate House Sellers: Distress among Developers
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1