The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage

Nadav Ben Zeev () and Daniel Nathan
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Nadav Ben Zeev: BGU

No 2316, Working Papers from Ben-Gurion University of the Negev, Department of Economics

Keywords: LOA-Dependent FX Swap Demand Channel; Cross-Currency Basis; Limits of Arbi- trage; Granular Instrumental Variable; Bartik Instrument; Open FX Swap Position; Institutional Investors; Bayesian State-Dependent Local Projections. (search for similar items in EconPapers)
JEL-codes: E44 F3 G15 G23 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2023
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bgu:wpaper:2316

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