"Swap" Covered Interest Parity in Long-Date Capital Markets
利用货币互换作为远期汇率对冲工具，评估长期资本市场中的覆盖利率平价条件，发现交易成本虽能解释平均偏差，但净偏差并不罕见且持续存在，不过这些套利机会随时间减少并最终消失。
Using the currency swap as the forward-exchange risk hedge, the covered interest parity condition in the long-date capital markets is evaluated. Of interest is the extent to which deviations from parity can be attributed to transactions costs. The empirical conclusions presented in the paper suggest that, although (on average) transactions costs account for deviations from parity, net deviations (in excess of transactions costs) are neither rare nor short-lived. Yet an analysis of the variance structure of covered interest parity reveals that these profit opportunities diminish over time and eventually disappear. Copyright 1996 by MIT Press.