Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture
利用1920年代伦敦和纽约市场的周度数据，通过非线性计量方法检验凯恩斯提出的抵补利率平价偏差套利门槛和持续性猜想，结果强烈支持该猜想。
Keynes (1923) conjectured that deviations from covered interest rate parity would not be arbitraged unless a profit of at least a half of one percent on an annualized basis was available, and that larger deviations would still be moderately persistent because of less than perfect elasticity of supply of arbitrage funds. This two-part conjecture was given further emphasis by other writers on this period, notably Einzig (1937). We apply nonlinear econometric techniques to a previously unexploited weekly data base for the 1920s London and New York markets and find strong support for the conjecture.