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COVERED INTEREST PARITY [1 record]

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Record 1 1986-10-27

English

Subject field(s)
  • Currency and Foreign Exchange
CONT

It is well known that the market rapidly eliminates risk-free gains from covered arbitrage. Covered interest parity between comparable instruments denominated in different currencies has been shown to hold very precisely in Euromarkets (Frenkel and Levich (1975].

French

Domaine(s)
  • Politique monétaire et marché des changes
CONT

On sait fort bien que le marché élimine rapidement les gains sans risques provenant d'opérations d'arbitrage avec couverture des risques de change. On a observé que la parité des taux d'intérêt avec couverture des risques de change des titres comparables libellés en différentes devises se vérifie de façon très précise sur les euromarchés (Frenkel et Levich, (1975].

Spanish

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