Construct · 1 fields · 1 citations

covered interest parity deviations: a standalone construct

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International macroeconomics

persistent gaps between the forward premium and the interest rate differential that would be arbitraged away under covered interest parity.

In international macroeconomics, covered interest parity deviations refers to persistent gaps between the forward premium and the interest rate differential that would be arbitraged away under covered interest parity. This meaning comes from Du (2018) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

forward2 fields · 2 citationsjingle · one word, two constructs interest4 fields · 5 citationsjingle · one word, four constructs parity4 fields · 5 citationsjingle · one word, four constructs

References

DU, W., Tepper, A., & Verdelhan, A. (2018). Deviations from Covered Interest Rate Parity. The Journal of Finance, 73(3), 915-957. https://doi.org/10.1111/jofi.12620

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