Capital Controls and Covered Interest Parity

摘要: This paper examines covered interest parity between Yen-denominated and dollar-denominated assets: Euro-yen Euro-dollar three month deposit rates,and the representative comparable three-month rates in Japan andin U.S. An objective of this is to single out portion deviations from that caused by capital controls imposed Japanese authority.To end, new measures one-way arbitrage gain are defined taking into account transactions costs associatedwith bid-ask spread exchange tax on repurchase agreements, Gensaki, Japan. According our measure, has been holding, as theory predicts, Euro market since 1977.The Euro-Yen must have thin violations toparity 1975 1976. Capital Government detected Gensaki Euro-Dollar deposits 1980.After a law was enacted December 1980 which lifted most controls, holding assets.