Covered Interest Arbitrage: Unexploited Profits? Comment
نویسندگان
چکیده
منابع مشابه
Reply To: Managing Channel Profits: Comment
We welcome Moorthy's Comment (Moorthy 1987). It provides an opportunity to clarify several issues raised in our 1983 paper. That paper was motivated by one concern—channel coordination. We believed that channel members benefit from coordination and that many institutional arrangements, such as quantity discounts, are actually coordinating mechanisms. We developed a simple model to demonstrate o...
متن کاملTests of Covered Interest Rate Parity
ECEN’FLY there has been considerable interest in and investigations of whether the covered interest parity (CIP) holds. At the inicroeconomic level, CIP is important because is it a direct consequence of covered interest arbitrage. Its failure to hold would suggest 1) that markets are inefficient in the sense that traders do not take advantage of known profit opportunities, 2) that legal restri...
متن کاملArbitrage bounds for the term structure of interest rates
This paper proposes a methodology for simultaneously estimating the term structure of interest rates and computing its arbitrage bounds. It uni es existing estimation procedures that apply smoothing and linear programming methods. The methodology adjusts for tax e ects and (possibly asymmetric) transaction costs. The paper reviews and extends the arbitrage theory of bond markets which is based ...
متن کاملArbitrage Restrictions and Multi-factor Models of the Term Structure of Interest Rates. 1 Arbitrage Restrictions and Multi-factor Models
In this paper we investigate models of the term structure where the factors are interest rates. As an example, we derive a no-arbitrage model of the term structure in which any two futures (as opposed to forward) rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a twodimensional autoregress...
متن کاملUnexploited Dimensions of Virtual Humans
Virtual Humans are on the border of fiction and realism: while it is obvious that they do not exist in reality and function on different principles than real people, they have been endowed with human features such as being emotionally sensitive. In this article we argue that many dimensions, both human-like ones and ones made possible by the computer technology, are still unexploited to increas...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 1979
ISSN: 0022-3808,1537-534X
DOI: 10.1086/260767