Transactions Costs and Covered Interest Arbitrage: Theory and Evidence
指出，由于忽略了外汇掉期市场，文献中高估了交易成本对抵补利率平价偏离的影响。研究表明，偏离不应超过掉期市场或两个相关证券市场中的最低交易成本，这与数据中价差不超过几个基点的结果一致。
The extent to which deviations from covered interest parity can be attributed to transactions costs has been exa ggerated in the economic literature because the swap market in foreig n exchange has been ignored. It is shown that such deviations should be no greater than the lowest of the transactions costs in one of thr ee markets: the swap market or either of the two relevant securities markets. This reconciles the theory with the data, which show spreads of no more than a few basis points. However, the empirical results h ave no direct bearing on the conventional market efficiency hypothesi s. Copyright 1988 by University of Chicago Press.