A model of covered interest arbitrage under market segmentation.: An article from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on November 1, 1991. The length of the article is 4863 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: Existing models of covered interest arbitrage typically assume market participants have equal capital and foreign exchange market access. This paper derives sufficient conditions for the existence of neutral interest parity forward price bands when capital markets are segmented and exchange rates are dually quoted. All forward price intervals are completely characterized in terms of simultaneous two-way and one-way arbitrage flow possibilities. The parameters of the no-arbitrage price region are shown to be established on the basis of relative advantage with respect to the set of available arbitrage strategies. (Printed by permission of the publisher.)

Citation Details
Title: A model of covered interest arbitrage under market segmentation.
Author: Lloyd P. Blenman
Publication:Journal of Money, Credit & Banking (Refereed)
Date: November 1, 1991
Publisher: Ohio State University Press
Volume: v23 Issue: n4 Page: p706(12)

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