Credit Limits and Long-Term Covered Interest Arbitrage

Mardi Dungey () and L Gower

Working Papers from Australian National University - Department of Economics

Abstract: Covered interest parity seems to hold more strongly for short-term assets than for long-term assets. Credit limits have been suggested as a possible explanation of this phenomenon. This paper contests that hypothesis.

Keywords: CREDIT; EXCHANGE RATE; INFORMATION; INTEREST (search for similar items in EconPapers)
JEL-codes: L14 F31 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:fth:aunaec:325

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