CURRENCY SWAPS AND LONG-TERM COVERED INTEREST PARITY

被引：9

作者：

TAKEZAWA, N

机构：

[1] Graduate School of International Management, International University of Japan, Niigata, 949-72, Yamato-machi

来源：

ECONOMICS LETTERS | 1995年 / 49卷 / 02期

关键词：

CURRENCY SWAP; COVERED INTEREST PARITY;

D O I：

10.1016/0165-1765(95)00664-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The present study employs daily data, as opposed to weekly data used in previous studies, to examine whether long-term covered interest parity holds when a currency swap is used as a hedging instrument. We find that large deviations were not rare during the late 1980s but such deviations have diminished in recent years.

引用

页码：181 / 185

页数：5

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