Deviations from Covered Interest Rate Parity
研究发现全球最大资产市场中抛补利率平价条件存在巨大、持久且系统的偏离，这种偏离不能用信用风险或交易成本解释，且与季度末银行资产负债表上的远期合约及银行监管有关。
ABSTRACT We find that deviations from the covered interest rate parity (CIP) condition imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk or transaction costs. They are particularly strong for forward contracts that appear on banks' balance sheets at the end of the quarter, pointing to a causal effect of banking regulation on asset prices. The CIP deviations also appear significantly correlated with other fixed income spreads and with nominal interest rates.