bis working papers no 651 segmented money markets and covered interest parity arbitrage by dagfinn rime andreas schrimpf and olav syrstad monetary and economic department july 2017 jel classification e43 ...
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...Bis working papers no segmented money markets and covered interest parity arbitrage by dagfinn rime andreas schrimpf olav syrstad monetary economic department july jel classification e f g keywords market segmentation funding liquidity premia fx swap u s dollar are written members of the bank for international settlements from time to other economists published on subjects topical technical in character views expressed them those their authors not necessarily this publication is available website www org all rights reserved brief excerpts may be reproduced or translated provided source stated issn print online dagnn bi norwegian business school cepr norges gmail com first draft th december version june we grateful claudio borio matt boge discussant pierre collin dufresne guy debelle wenxin du darrell due jacob gyntelberg jonathan kearns samuli knupfer daniel kohler frank packer lasse pedersen matteo maggiori semyon malamud bob mccauley benjamin mueller pat mcguire angelo ranaldo lucio ...