Online Appendix to Exchange Rate Determination Under Limits to CIP Arbitrage

Recent theories of exchange rate determination have emphasized limited UIP arbitrage by international financial institutions. New regulations since 2008 have also led to imperfect CIP arbitrage. This paper shows that under limited CIP arbitrage the exchange rate and CIP deviation are jointly determined by equilibrium in the FX spot and swap markets.

Authors

J. Scott Davis (ORCID: https://orcid.org/0000-0002-8522-8826)
Philippe Bacchetta (ORCID: https://orcid.org/0000-0001-9233-5040)

Publication Details

Published: 2024-09-01
DOI: https://doi.org/10.24149/gwp425appr1
Primary Topic: Monetary Policy and Economic Impact
Type: article
Field-Weighted Citation Impact: 0.00

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article

Online Appendix to Exchange Rate Determination Under Limits to CIP Arbitrage

J. Scott Davis, Philippe Bacchetta

Sep 1, 2024

Monetary Policy and Economic Impact

article

Online Appendix to Exchange Rate Determination Under Limits to CIP Arbitrage

J. Scott Davis, Philippe Bacchetta

September 1, 2024article en

Abstract

Vol. 2023(425)

Openalex Percentile: Top 71%

Monetary Policy and Economic Impact

DOI Source OpenAlex

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Online Appendix to Exchange Rate Determination Under Limits to CIP Arbitrage — J. Scott Davis, Philippe Bacchetta · (2024) | TGRS Research Map | TGRS