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Covered interest rate parity in emerging markets

Skinner, FS and Mason, A (2011) Covered interest rate parity in emerging markets International Review of Financial Analysis, 20 (5). 355 - 363. ISSN 1057-5219

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Abstract

This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does not hold for longer maturities for Brazil, Chile, Russia and South Korea. Overall this paper finds that aspects of credit risk are the source of violations in CIRP in the long-term capital markets rather than transactions costs or the size of the economy.

Item Type: Article
Additional Information: Copyright © 2011 Elsevier Inc. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, VOL 20, ISSUE 5, 2011 DOI: 10.1016/j.irfa.2011.06.008
Divisions: Faculty of Business, Economics and Law > Surrey Business School
Depositing User: Symplectic Elements
Date Deposited: 31 Jan 2012 15:34
Last Modified: 23 Sep 2013 19:02
URI: http://epubs.surrey.ac.uk/id/eprint/127270

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