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1Academic Journal
المؤلفون: A. V. Zubarev, Ya. P. Motyakina, А. В. Зубарев, Я. П. Мотякина
المصدر: Voprosy statistiki; Том 30, № 5 (2023); 28-36 ; Вопросы статистики; Том 30, № 5 (2023); 28-36 ; 2658-5499 ; 2313-6383
مصطلحات موضوعية: арбитраж, statistical observation, statistical methods, interest rate spread, forward premium, arbitrage, статистическое наблюдение, статистические методы, спред процентных ставок, форвардная премия
وصف الملف: application/pdf
Relation: https://voprstat.elpub.ru/jour/article/view/1623/973; Cerutti E.M., Obstfeld M., Zhou H. Covered Interest Parity Deviations: Macrofinancial Determinants // Journal of International Economics. 2021. Vol. 130. Article 103447. doi: https://doi.org/10.1016/j.jinteco.2021.103447.; Васильев Д., Бусыгин В., Бусыгин С. Проверка и интерпретация выполнения процентного паритета в России // Экономическая политика. 2016. Т. 11. №4. С. 35–55. doi: https://10.18288/1994-5124-2016-4-02.; Гурвич Е., Соколов В., Улюкаев А. Анализ связи между курсовой политикой ЦБ и процентными ставками: непокрытый и покрытый паритет // Журнал Новой экономической ассоциации. 2009. № 1–2. С. 104–126.; Андреев М.Ю., Полбин А.В. Оценка макроэкономических эффектов от ожидаемого сокращения нефтегазовых доходов // Вопросы экономики. 2023. № 4. С. 5–28. doi: https://doi.org/10.32609/0042-8736-2023-4-5-28.; Frankel J., Levich R. Transaction Costs and Interest Arbitrage: Tranquil Versus Turbulent Periods // Journal of Political Economy. 1977. Vol. 85. No. 6. P. 1209–1226. doi: https://doi.org/10.1086/260633.; Vieira I. Evaluating Capital Mobility in the EU: A New Approach Using Swaps Data // The European Journal of Finance. 2003. Vol. 9. Iss. 5. P. 514–532. doi: https://doi.org/10.1080/1351847032000082817.; Batten J.A., Szilagyi P.G. Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen // Applied Economics Letters. 2010. Vol. 17. Iss. 3. P. 283–287. doi: https://doi.org/10.1080/13504850701720189.; Batten J.A., Szilagyi P.G. Arbitrage, Covered Interest Parity and Long-Term Dependence Between the US Dollar and the Yen // IIIS Discussion Paper № 128. 2006. doi: https://dx.doi.org/10.2139/ssrn.923769.; Taylor M.P., Tchernykh Branson E. Asymmetric Arbitrage and Default Premiums Between the U.S. and Russian Financial Markets // IMF Staff Papers. 2004. Vol. 51. No. 2.; Frankel J., Poonawala J. The Forward Market in Emerging Currencies: Less Biased than in Major Currencies // Journal of International Money and Finance. 2010. Vol. 29. Iss. 3. P. 585–598. doi: https://doi.org/10.1016/j.jimonfin.2009.11.004.; Ivashina V., Scharfstein D.S., Stein J.C. Dollar Funding and the Lending Behavior of Global Banks // The Quarterly Journal of Economics. 2015. Vol. 130. Iss. 3. P. 1241–1282. doi: https://doi.org/10.1093/qje/qjv017.; Levich R.M. Fx Counterparty Risk and Trading Activity in Currency Forward and Futures Markets // Review of Financial Economics. 2012. Vol. 21. Iss. 3. P. 102–110. doi: https://doi.org/10.1016/j.rfe.2012.06.004.; Mancini-Griffoli T., Ranaldo A. Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity. February 4, 2011. doi: https://dx.doi.org/10.2139/ssrn.1569504.; Baba N., Packer F. Interpreting Deviations from Covered Interest Parity During the Financial Market Turmoil of 2007–08 // Journal of Banking & Finance. 2009. Vol. 33. Iss. 11. P. 1953–1962. doi: https://doi.org/10.1016/j.jbankfin.2009.05.007.; Coffey N., Hrung W.B., Sarkar A. Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity // FRB of New York Staff Report No. 393. 2009. doi: http://dx.doi.org/10.2139/ssrn.1473377.; Du W., Tepper A., Verdelhan A. Deviations from Covered Interest Rate Parity // The Journal of Finance. 2018. Vol. 73. Iss. 3. P. 915–957. doi: https://doi.org/10.1111/jofi.12620.; https://voprstat.elpub.ru/jour/article/view/1623
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المؤلفون: A. G. Khudokormov, A. Yu. Stavniychuk, S. I. Kolesnik, M. M. Taipov, V. M. Solovyova, V. D. Khrabrovskaya, I. S. Petukhova, T. Yu. Ivakhnenko, Ya. P. Motyakina, D. T. Shakerova
المصدر: Scientific Research of Faculty of Economics. Electronic Journal. 14:5-172