Browsing Arbeidsnotater / Working Papers by Subject "securities lending"
Now showing items 1-1 of 1
-
Covered Interest Parity in long-dated securities
(Working Paper;11/2020, Working paper, 2020)This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or ...