메뉴 건너뛰기




Volumn 73, Issue 290, 2006, Pages 341-352

Covered interest arbitrage: Then versus now

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; INTEREST RATE; MARKET; STOCK MARKET;

EID: 33645810617     PISSN: 00130427     EISSN: 14680335     Source Type: Journal    
DOI: 10.1111/j.1468-0335.2006.00500.x     Document Type: Article
Times cited : (15)

References (39)
  • 2
    • 0032413513 scopus 로고    scopus 로고
    • Nonlinear dynamics and covered interest rate parity
    • Balke, N. and Wohar, M. (1998). Nonlinear dynamics and covered interest rate parity. Empirical Economics, 23, 535-59.
    • (1998) Empirical Economics , vol.23 , pp. 535-559
    • Balke, N.1    Wohar, M.2
  • 3
    • 33645821966 scopus 로고    scopus 로고
    • Is globalization today really different than globalization a hundred years ago?
    • Bordo, M., Eichengreen, B. and Irwin, D. (2000). Is globalization today really different than globalization a hundred years ago? Wirtschaftspolitische Blatter, 47, 121-9.
    • (2000) Wirtschaftspolitische Blatter , vol.47 , pp. 121-129
    • Bordo, M.1    Eichengreen, B.2    Irwin, D.3
  • 4
    • 0038888722 scopus 로고    scopus 로고
    • The Gold Standard as a commitment mechanism
    • T. Bayoumi, B. Eichengreen and M. Taylor (eds.) Cambridge: Cambridge University Press
    • Bordo, M. and Kydland, F. (1996). The Gold Standard as a commitment mechanism. In T. Bayoumi, B. Eichengreen and M. Taylor (eds.), Modern Perspectives on the Gold Standard. Cambridge: Cambridge University Press, pp. 55-100.
    • (1996) Modern Perspectives on the Gold Standard , pp. 55-100
    • Bordo, M.1    Kydland, F.2
  • 5
    • 0037852306 scopus 로고    scopus 로고
    • The Gold Standard as a good housekeeping seal of approval
    • Bordo, M. and Rockoff, H. (1996). The Gold Standard as a good housekeeping seal of approval. Journal of Economic History, 56, 389-428.
    • (1996) Journal of Economic History , vol.56 , pp. 389-428
    • Bordo, M.1    Rockoff, H.2
  • 6
    • 0010714247 scopus 로고
    • The minimum covered interest differential needed for international arbitrage activity
    • Branson, W. (1969). The minimum covered interest differential needed for international arbitrage activity. Journal of Political Economy, 77, 1028-35.
    • (1969) Journal of Political Economy , vol.77 , pp. 1028-1035
    • Branson, W.1
  • 8
    • 33645838690 scopus 로고    scopus 로고
    • The foreign exchanges
    • J. Peck (ed.) Northampton: Edward Elgar
    • Clare, G. (1998). The foreign exchanges. In J. Peck (ed.), Historical Foundations of Globalization. Northampton: Edward Elgar.
    • (1998) Historical Foundations of Globalization
    • Clare, G.1
  • 9
    • 84936824513 scopus 로고
    • Transactions costs and covered interest arbitrage: Theory and evidence
    • Clinton, K. (1988). Transactions costs and covered interest arbitrage: theory and evidence. Journal of Political Economy, 96, 358-70.
    • (1988) Journal of Political Economy , vol.96 , pp. 358-370
    • Clinton, K.1
  • 10
    • 0009917040 scopus 로고
    • Interest rate parity tests: Switzerland and some major Western countries
    • Cosandier, P. and Liang, B. (1981). Interest rate parity tests: Switzerland and some major Western countries. Journal of Banking and Finance, 5, 187-200.
    • (1981) Journal of Banking and Finance , vol.5 , pp. 187-200
    • Cosandier, P.1    Liang, B.2
  • 11
  • 14
    • 0001264441 scopus 로고
    • Covered interest arbitrage: Unexploited profits?
    • Frenkel, J. and Levich, R. (1975). Covered interest arbitrage: unexploited profits? Journal of Political Economy, 83, 325-38.
    • (1975) Journal of Political Economy , vol.83 , pp. 325-338
    • Frenkel, J.1    Levich, R.2
  • 15
    • 0000224733 scopus 로고
    • Transaction costs and interest arbitrage: Tranquil versus turbulent periods
    • Frenkel, J. and Levich, R. (1977). Transaction costs and interest arbitrage: Tranquil versus turbulent periods. Journal of Political Economy, 85, 1209-24.
    • (1977) Journal of Political Economy , vol.85 , pp. 1209-1224
    • Frenkel, J.1    Levich, R.2
  • 17
    • 0034363466 scopus 로고    scopus 로고
    • Realignment expectations and the US dollar, 1890-1897: Was there a peso problem?
    • Hallwood, P., MacDonald, R. and Marsh, I. (2000). Realignment expectations and the US dollar, 1890-1897: Was there a peso problem? Journal of Monetary Economics, 46, 605-20.
    • (2000) Journal of Monetary Economics , vol.46 , pp. 605-620
    • Hallwood, P.1    MacDonald, R.2    Marsh, I.3
  • 18
    • 0030373966 scopus 로고    scopus 로고
    • Inference when a nuisance parameter is not identified under the null hypothesis
    • Hansen, B. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica, 64, 413-30.
    • (1996) Econometrica , vol.64 , pp. 413-430
    • Hansen, B.1
  • 19
    • 0001028687 scopus 로고    scopus 로고
    • Sample splitting and threshold estimations
    • Hansen, B. (2000). Sample splitting and threshold estimations. Econometrica, 68, 575-603.
    • (2000) Econometrica , vol.68 , pp. 575-603
    • Hansen, B.1
  • 23
    • 0011675939 scopus 로고
    • Interest arbitrage in the eurocurrency markets
    • Marston, R. (1976). Interest arbitrage in the eurocurrency markets. European Economic Review, 7, 1-13.
    • (1976) European Economic Review , vol.7 , pp. 1-13
    • Marston, R.1
  • 25
    • 0031541876 scopus 로고    scopus 로고
    • Nonlinear aspects of goods markets arbitrage and adjustment: Heckscher's commodity points revisited
    • Obstfeld, M. and Taylor, A. M. (1997). Nonlinear aspects of goods markets arbitrage and adjustment: Heckscher's commodity points revisited. Journal of the Japanese and International Economies, 11, 441-79.
    • (1997) Journal of the Japanese and International Economies , vol.11 , pp. 441-479
    • Obstfeld, M.1    Taylor, A.M.2
  • 27
    • 84974201039 scopus 로고
    • The remarkable efficiency of the dollar-sterling Gold Standard, 1890-1906
    • Officer, L. H. (1989). The remarkable efficiency of the dollar-sterling Gold Standard, 1890-1906. Journal of Economic History, 49, 1-41.
    • (1989) Journal of Economic History , vol.49 , pp. 1-41
    • Officer, L.H.1
  • 29
    • 0000954494 scopus 로고
    • The covered interest arbitrage schedule: A critical survey of recent developments
    • Officer, L. H. and Willett, T. D. (1979). The covered interest arbitrage schedule: A critical survey of recent developments. Journal of Money, Credit, and Banking, 2, 247-57.
    • (1979) Journal of Money, Credit, and Banking , vol.2 , pp. 247-257
    • Officer, L.H.1    Willett, T.D.2
  • 30
    • 0036003803 scopus 로고    scopus 로고
    • Covered interest rate arbitrage in the interwar period and the Keynes-Einzig conjecture
    • Peel, D. and Taylor, M. P. (2002). Covered interest rate arbitrage in the interwar period and the Keynes-Einzig conjecture. Journal of Money, Credit and Banking, 34, 51-75.
    • (2002) Journal of Money, Credit and Banking , vol.34 , pp. 51-75
    • Peel, D.1    Taylor, M.P.2
  • 31
    • 84974510055 scopus 로고
    • Foreign interest rates in American financial markets: A revised series of dollar-sterling exchange rates
    • Perkins, E. (1978). Foreign interest rates in American financial markets: A revised series of dollar-sterling exchange rates. Journal of Economic History, 38, 392-417.
    • (1978) Journal of Economic History , vol.38 , pp. 392-417
    • Perkins, E.1
  • 35
    • 0000728598 scopus 로고
    • Covered interest parity: A high-frequency, high-quality data study
    • Taylor, M. P. (1987). Covered interest parity: A high-frequency, high-quality data study. Economica 54, 429-38.
    • (1987) Economica , vol.54 , pp. 429-438
    • Taylor, M.P.1
  • 36
    • 0001436003 scopus 로고
    • Covered interest arbitrage and market turbulence
    • Taylor, M. P. (1989). Covered interest arbitrage and market turbulence. Economic Journal, 99, 376-91.
    • (1989) Economic Journal , vol.99 , pp. 376-391
    • Taylor, M.P.1
  • 37
    • 4644358240 scopus 로고
    • Covered interest parity
    • ed. M. Milgate, P. Newman and J. Eatwell, London: Macmillan
    • Taylor, M. P. (1992). Covered interest parity. In The New Palgrave Dictionary of Money and Finance. ed. M. Milgate, P. Newman and J. Eatwell, London: Macmillan.
    • (1992) The New Palgrave Dictionary of Money and Finance
    • Taylor, M.P.1
  • 39
    • 0036290595 scopus 로고    scopus 로고
    • Capital mobility for developing countries may not be so high
    • Willett, T. D., Keil, M. F. and Ahn, Y. S. (2002). Capital mobility for developing countries may not be so high. Journal of Development Economics, 68, 421-34.
    • (2002) Journal of Development Economics , vol.68 , pp. 421-434
    • Willett, T.D.1    Keil, M.F.2    Ahn, Y.S.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.