کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069688 1476993 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Insured uncovered interest parity
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Insured uncovered interest parity
چکیده انگلیسی


- Uncovered interest parity (UIP) does not hold because of sovereign credit risk.
- We examine an insured uncovered interest parity relationship using credit default swap (CDS) contracts.
- CDS rates help explain the UIP puzzle.
- CDS rates have no predictive power for carry trade and currency returns.

The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity relationship - that is, one where debt is insured with credit default swap (CDS) contracts. CDS rates help explain the UIP puzzle but have no predictive power for carry trade returns and currency movements.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 10, Issue 4, December 2013, Pages 175-183
نویسندگان
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