Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963364 | Journal of International Financial Markets, Institutions and Money | 2013 | 17 Pages |
Abstract
⺠Forward exchange swaps are the largest market in the world. ⺠We introduce hedgers into a standard microstructure model of exchange rate activity. ⺠We study the determinants to covered interest returns using actual swap transactions. ⺠Economically significant returns to covered interest arbitrage exist. ⺠Returns are determined by contract irregularity, market activity and trader identity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hao-Chen Liu, Mark David Witte,