Currency Mispricing and Dealer Balance Sheets
研究发现英国杠杆率监管导致交易商在货币衍生品定价中偏离利率平价，受影响的交易商对合成美元融资收取额外约20个基点的溢价，且客户转向未受影响的交易商。
ABSTRACT We find dealer‐level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique data set of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the U.K. leverage ratio framework. Dealers who are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This finding holds even after controlling for changes in clients' demand. Also, some clients increase their trading activity with unaffected dealers with whom they already had a preexisting relationship.