کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085112 1477933 2011 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Covered interest rate parity in emerging markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Covered interest rate parity in emerging markets
چکیده انگلیسی
This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does not hold for longer maturities for Brazil, Chile, Russia and South Korea. Overall this paper finds that aspects of credit risk are the source of violations in CIRP in the long-term capital markets rather than transactions costs or the size of the economy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 20, Issue 5, October 2011, Pages 355-363
نویسندگان
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