期刊
FINANCE RESEARCH LETTERS
卷 10, 期 4, 页码 175-183出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2013.06.004
关键词
Uncovered interest parity; Carry trade; CDS
The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity relationship - that is, one where debt is insured with credit default swap (CDS) contracts. CDS rates help explain the UIP puzzle but have no predictive power for carry trade returns and currency movements. (C) 2013 Elsevier Inc. All rights reserved.
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