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Bank of Canada RSS Feedsen2024-03-28T16:06:34+00:00Limits to Arbitrage and Deviations from Covered Interest Rate Parity
https://www.bankofcanada.ca/2016/02/staff-discussion-paper-2016-4/
We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc.2016-02-08T12:14:14+00:00enLimits to Arbitrage and Deviations from Covered Interest Rate Parity2016-02-08Exchange ratesInternational financial marketsStaff Discussion Paper 2016-4https://www.bankofcanada.ca/wp-content/uploads/2016/02/sdp2016-4.pdfLimits to Arbitrage and Deviations from Covered Interest Rate ParityJames PinningtonMaral ShamlooFebruary 2016FF3F31GG1G15