Covered Interest Parity Deviations: Macrofinancial Determinants
IMF Working Papers, January 16, 2019
Source details
- Canonical URL
- Covered Interest Parity Deviations: Macrofinancial Determinants
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Bibliographic details
- Authors: Eugenio M Cerutti, Maurice Obstfeld, Haonan Zhou
- Published: January 16, 2019
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484390122.001
Authors and publication
- By Eugenio M Cerutti, Maurice Obstfeld, Haonan Zhou
- January 16, 2019
- IMF Working Papers, Issue: 014; Series: Working Paper No. 2019/014
- Pages: 36
- Volume: 2019
- DOI: https://doi.org/10.5089/9781484390122.001
- Stock No: WPIEA2019014
- ISBN: 9781484390122
- ISSN: 1018-5941
Principal findings
- For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data.
- CIP deviations have significantly increased since the GFC.
- Potential macrofinancial drivers of the variation in CIP deviations have become significant since the GFC.
- The variation in CIP deviations is associated with multiple factors, not only regulatory changes.
- Most potential drivers do not display a uniform importance across currency pairs and time.
- Some drivers are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Subject areas and keywords
- Subject: Banking, Currencies, Financial crises, Financial markets, Financial services, Global financial crisis of 2008-2009, Interbank rates, Interest rate parity, Money, Money markets
- Keywords: basis calculation, Covered Interest Parity, cross-currency basis, cross-currency dollar basis, Currencies, dollar appreciation, dollar strength, Forward FX Market, Global, Global financial crisis of 2008-2009, Interbank rates, Interest Rate Differentials, Interest rate parity, investment option, Money markets, time-series regression, U.S. dollar, WP
Research format and access
- Publication type: IMF Working Papers
- Available formats referenced: PDF (Download PDF), More Formats on IMF eLibrary
Italic: Source — Covered Interest Parity Deviations: Macrofinancial Determinants, IMF Working Papers (2019, Issue 014), accessed from the landing page for the publication.
Content in this bundle
- Covered Interest Parity Deviations: Macrofinancial Determinants, WP/19/14, January 2019