Maral Shamloo

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Staff Discussion Papers

Limits to Arbitrage and Deviations from Covered Interest Rate Parity

Staff Discussion Paper 2016-4 James Pinnington, Maral Shamloo
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.

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Staff Working Papers

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