Covered Interest Parity

A High-Frequency, High-Quality Data Study

Datos Bibliográficos

ID9724754
AutoresMark P Taylor (0000-0002-4158-0983, autor de correspondencia)
Año1987
Volumen54
Número216
Páginas429
Fecha de publicación1987-11-01
Peer ReviewedSí
Open AccessNo
TipoARTICLE
RevistaEconomica (JOURNAL)
Identificadores de la revistaISSN: 0013-0427 • E-ISSN: 1468-0335
EditorialJSTOR (PUBLISHER)
DOI10.2307/2554178
OpenAlexW2030441490
IdiomaEN
Citas recibidas8
Referencias citadas9

Profitable deviations from covered interest parity (CIP) represent riskless arbitrage opportunities and so indicate market ineffic iency. Previous empirical work on CIP uses noncontemporaneously sampl ed data and reports mixed results. This paper uses high-frequency (te n-minute), high-quality data, gathered personally by the author in th e London foreign-exchange market, to test the CIP condition. The resu lts overwhelmingly support the market-efficiency hypothesis. Copyright 1987 by The Review of Economic Studies Limited

Arbitrage · Econometrics · Economics · Exchange rate · Financial economics · Foreign exchange · Foreign exchange market · Interest rate parity · Monetary economics · Parity (physics) · Quality (philosophy) · Banking stability, regulation, efficiency · Credit Risk and Financial Regulations · Financial Markets and Investment Strategies