Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps
Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps
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金融危机后，互换覆盖利率平价在长期资本市场上是否仍然有效？
DOI：
10.1016/j.iref.2021.10.008
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发表时间：
2022
影响因子：
4.5
通讯作者：
Takahiro Hattori
中科院分区：
文献类型：
--
作者：
Rasmus Fatum;Takahiro Hattori ;Yohei Yamamoto;Takahiro Hattori
本文通过比较美国国债与使用跨货币基础掉期复制的以美元计价的外国资产，分析了掉期覆盖的利率平价条件。我们发现，金融危机后，这些收益率利差的偏差大幅下降，表明掉期覆盖的利率平价仍然成立。为了使我们的矛盾发现与之前坚持涵盖利率平价失败的文献相一致，我们凭经验证实，跨货币基差掉期的监管成本被掉期覆盖利率平价下的掉期利差成本所抵消。
This paper analyzes the swap-covered interest parity condition by comparing US Treasury bonds with USD-denominated foreign assets replicated using cross-currency basis swaps. We find that the deviations of these yield spreads declined substantially after the financial crisis, suggesting that the swap-covered interest parity still holds. To reconcile our paradoxical findings with the previous literature that insists upon the failure of covered interest parity, we empirically confirm that the regulatory costs of cross-currency basis swaps are cancelled out by the costs of swaps spread under swap-covered interest parity.