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.
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页码：181 / 185
页数：5
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