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Augustin et al., 2024 - Google Patents

The term structure of covered interest rate parity violations

Augustin et al., 2024

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Document ID
7972697222854535887
Author
Augustin P
Chernov M
Schmid L
Song D
Publication year
Publication venue
The Journal of Finance

External Links

Snippet

We quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge …
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