Hedging demand can cause covered interest parity violations – BIS paper

bis-5
The BIS. Photo: Dan Hinge
Photo: Daniel Hinge

Economists at the Bank for International Settlements have designed a model that helps explain the deviation from covered interest parity (CIP) after 2012, presenting their results in a working paper published on October 27.

Authors Vladyslav Sushko, Claudio Borio, Robert Neil McCauley and Patrick McGuire note CIP deviations tend to occur during periods of market stress. However, since 2012, the CIP relationship has failed without coinciding with an increase in bank credit risk or wholesale US

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account

.