Insured Uncovered Interest Parity

Yiuman Tse and John Wald ()
Additional contact information
John Wald: UTSA

Working Papers from College of Business, University of Texas at San Antonio

Abstract: The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity relationship – that is, one where debt is insured with credit default swap (CDS) contracts. CDS rates help explain the UIP puzzle, but have no predictive power for currency movements.

Keywords: Uncovered interest parity; carry trade; CDS (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://interim.business.utsa.edu/wps/fin/0008FIN-452-2013.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsa:wpaper:0172fin

Access Statistics for this paper

More papers in Working Papers from College of Business, University of Texas at San Antonio Contact information at EDIRC.
Bibliographic data for series maintained by Wendy Frost ().