DISLOCATIONS IN THE WON‐DOLLAR SWAP MARKETS DURING THE CRISIS OF 2007–2009
分析了2007-2009年韩元与美元外汇掉期和交叉货币掉期市场的错位，发现波动率指数和银行信用违约掉期利差是解释利率平价偏离的主要因素，并评估了韩国银行不同干预措施的效果。
ABSTRACT We analyse dislocations in the foreign exchange swap and cross‐currency swap markets between Korean won and US dollar from 2007 to 2009. A regime‐switching analysis of deviations from covered interest parity (CIP) identifies a crisis period starting in June 2007. Using an EGARCH model, we find that volatility index and the credit default swap spreads of Korean and US banks are the main factors explaining CIP deviations. We show that the Bank of Korea's US dollar loans of the proceeds of swaps with the US Federal Reserve were effective in reducing CIP deviations, whereas the provision of funds using its foreign reserves was not. Copyright © 2014 John Wiley & Sons, Ltd.