Covered interest arbitrage
Subtitle: then vs. now
By: Ted Juhl, William Miles, Marc D. Weidenmier.
Contributors: Miles, William.; Weidenmier, Marc D.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10961; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10961.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange futures -- History.; Interest rate futures -- History.
Description: "We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914).  Using threshold autoregressions (TAR), we estimate the transactions cost band of covered interest differentials (CIDs) and compare our results to studies of more recent periods.  Our findings indicate that CIDs for the US-UK rate were generally larger during the classical gold standard than any period since.  We argue that slower information and communications technology during the gold standard period led to fewer short-term financial flows, higher transactions costs, and larger CIDs"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.