Tests of covered interest parity: a comment

Lloyd Blenman

Applied Economics Letters, 1995, vol. 2, issue 3, 49-50

Abstract: Tests for the existence of covered interest arbitrage opportunity are complicated by the existence of market incompleteness and the lack of synchronous trading data in foreign exchange markets. The acquisition and use of synchronous data resolves some problems but does not address the issue of heterogeneity. Typically customers face different opportunity sets and tests which purport to find no arbitrage opportunities must take this fact into account.

Date: 1995
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DOI: 10.1080/135048595357546

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