Covered Interest Arbitrage: Unexploited Profits?

摘要: Empirical studies of covered interest arbitrage suggest that the parity condition is not always satisfied and thus implying unexploited profit opportunities. This paper provides a procedure for estimating transaction costs in markets foreign exchange securities. Allowance these accounts most apparent It shown addition to costs, demand supply elasticities various lags executing can account all concluded empirical data are consistent with theory does entail