Covered Interest Parity
A High-Frequency, High-Quality Data Study
Bibliographic Data
| ID | 9724754 |
|---|---|
| Authors | Mark P Taylor (0000-0002-4158-0983, corresponding author) |
| Year | 1987 |
| Volume | 54 |
| Issue | 216 |
| Pages | 429 |
| Publication date | 1987-11-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/2554178 |
| OpenAlex | W2030441490 |
| Language | EN |
| Citations received | 8 |
| References cited | 9 |
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
The Foreign Exchange Market
Covered Interest Arbitrage and Market Turbulence
Correcting US payments imbalances
The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates
Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate
Why Don't Individuals Speculate in the Forward Foreign Exchange Market
Does the covered interest rate parity fit for China
Covered Interest Arbitrage
Empirical exchange rate models of the seventies
The Interest Rate Parity Theorem
A Note on Interest Parity and the Supply of Arbitrage Funds
Elasticities and the Interest Parity Theory
Covered Interest Arbitrage
A Theory of Exchange Rate Determination
Covered Interest Arbitrage
The Minimum Covered Interest Differential Needed for International Arbitrage Activity
The Rational Expectations Revolution in Macroeconomics
| Unique citing works | 8 |
|---|---|
| Citations per year | 0,21 |
| Citation span | 1988 - 2021 (34) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 6 |