Blar i Arbeidsnotater / Working Papers på emneord "securities lending"
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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 ...