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Covered Interest Parity Deviations
Macrofinancial Determinants

by Eugenio M. Cerutti, Maurice Obstfeld, and Haonan Zhou

Series:Working Paper No. 19/14
ISBN 9781484390122
Code: #WPIEA2019014

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
36 pages
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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. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Covered Interest Parity Deviations
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 124312 Added: 2019.1.26