• Medientyp: E-Book
  • Titel: Covered Interest Rate Parity in Emerging Markets
  • Beteiligte: Skinner, Frank S. [Verfasser:in]; Mason, Andrew [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2011]
  • Umfang: 1 Online-Ressource (30 p)
  • Sprache: Englisch
  • Entstehung:
  • Anmerkungen: In: International Review of Financial Analysis, Forthcoming
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 22, 2011 erstellt
  • Beschreibung: This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does not hold for longer maturities for Brazil, Chile, Russia and South Korea. Overall this paper finds that aspects of credit risk are the source of violations in CIRP in the long-term capital markets rather than transactions costs or the size of the economy
  • Zugangsstatus: Freier Zugang