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This paper analyzes the swap-covered interest parity condition by comparing US Treasury bonds with USD-denominated foreign assets replicated using cross-currency basis swaps. We find that the deviations of these yield spreads declined substantially a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::bb22dd7819ec5022ae3e8f1a45a8b61a
https://doi.org/10.1016/j.iref.2021.10.008

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Dissecting interbank risk using basis swap spreads

Autor: Pedro Serrano, Jesús Ruiz, Juan Angel Lafuente, Nuria Petit

Publikováno v: The World Economy. 43:729-757

This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To identify the impact of shocks a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba0648b9cd09922cc6f408eea271ae63
https://doi.org/10.1111/twec.12878

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Effects of the Fed’s enhanced swap line with the ECB on CIP deviations

Autor: William A. Allen, Richhild Moessner

Publikováno v: Applied Economics

In this paper we study the effects of the enhancement of the Fed’s swap line with the ECB during the coronavirus epidemic on dollar cross-currency basis swap spreads against the euro, which had widened during the coronavirus crisis, reflecting grea

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ea43bd61a4bf41feebdf0cc09dcaec71
https://doi.org/10.1080/00036846.2020.1827137

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