Vallicelli, Lorenzo (A.A. 2020/2021) Interpretation of covered interest rate parity during Covid-19. Tesi di Laurea in International financial economics, Luiss Guido Carli, relatore Ugo Zannini, pp. 64. [Master's Degree Thesis]

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Abstract/Index

Covered interest parity theory. The CIP theory and its development. Relationship between the CIP and cross-currency basis, FX swap, and cross-currency swap. Empirical evidence of CIP before the crisis. CIP deviations in times of crisis. The GFC and the first deviations from the CIP. Factors driving deviations from CIP during GFC. The response of central banks through swap lines. CIP deviations during Covid. Central banks responses to CIP deviations during Covid. Drivers that cause the CIP deviations. Counterparty risk. Other factors that drive the CIP deviations. Empirical evidence.

References

Bibliografia: pp. 62-63. Sitografia: p. 64.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	International financial economics
Thesis Supervisor:	Zannini, Ugo
Thesis Co-Supervisor:	Marzioni, Stefano
Academic Year:	2020/2021
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	25 Aug 2022 13:12
Last Modified:	25 Aug 2022 13:12
URI:	https://tesi.luiss.it/id/eprint/33028

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