{
  "title": "Covered Interest Parity Deviations: Macrofinancial Determinants",
  "publication": "IMF Working Papers, January 16, 2019",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2019/01/16/covered-interest-parity-deviations-macrofinancial-determinants-46472",
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  "summary": "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.",
  "sections": [
    {
      "heading": "Authors and publication",
      "content": "- By Eugenio M Cerutti, Maurice Obstfeld, Haonan Zhou\n- January 16, 2019\n- IMF Working Papers, Issue: 014; Series: Working Paper No. 2019/014\n- Pages: 36\n- Volume: 2019\n- DOI: https://doi.org/10.5089/9781484390122.001\n- Stock No: WPIEA2019014\n- ISBN: 9781484390122\n- ISSN: 1018-5941"
    },
    {
      "heading": "Principal findings",
      "content": "- 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.\n- CIP deviations have significantly increased since the GFC.\n- Potential macrofinancial drivers of the variation in CIP deviations have become significant since the GFC.\n- The variation in CIP deviations is associated with multiple factors, not only regulatory changes.\n- Most potential drivers do not display a uniform importance across currency pairs and time.\n- Some drivers are associated with possible temporary considerations (such as asynchronous monetary policy cycles)."
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subject: Banking, Currencies, Financial crises, Financial markets, Financial services, Global financial crisis of 2008-2009, Interbank rates, Interest rate parity, Money, Money markets\n- 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"
    },
    {
      "heading": "Research format and access",
      "content": "- Publication type: IMF Working Papers\n- Available formats referenced: PDF (Download PDF), More Formats on IMF eLibrary\n\nItalic: Source — Covered Interest Parity Deviations: Macrofinancial Determinants, IMF Working Papers (2019, Issue 014), accessed from the landing page for the publication.\n\n---\n\n Content in this bundle\n\n- Covered Interest Parity Deviations: Macrofinancial Determinants, WP/19/14, January 2019\n  - Covered Interest Parity Deviations: Macrofinancial Determinants, WP/19/14, January 2019 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Covered Interest Parity Deviations: Macrofinancial Determinants, WP/19/14, January 2019 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2019/01/16/covered-interest-parity-deviations-macrofinancial-determinants-46472"
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    "Authors: Eugenio M Cerutti, Maurice Obstfeld, Haonan Zhou",
    "Published: January 16, 2019",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484390122.001",
    "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",
    "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: 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",
    "Publication type: IMF Working Papers",
    "Available formats referenced: PDF (Download PDF), More Formats on IMF eLibrary",
    "**Covered Interest Parity Deviations: Macrofinancial Determinants, WP/19/14, January 2019**"
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