Keller, Lorena
Arbitraging covered interest rate parity deviations and bank lending / Lorena Keller
Bibliografía.
I propose and test a new channel through which covered interest rate parity (CIP) deviations can affect bank lending in emerging economies. I argue that when CIP deviations exist, banks attempt to arbitrage them. To do so, banks must borrow in a particular currency. When this currency is scarce, bank lending in the currency required to arbitrage decreases, while they use this currency in their arbitrage activities. I test this channel by exploiting differences in the abilities of Peruvian banks to arbitrage CIP deviations. I find evidence that supports the proposed channel.
INTERESES BANCARIOS
PRESTAMOS
PAISES EN DESARROLLO
TIPO DE CAMBIO
The American Economic Review 0002-8282 v. 114, n. 9, September 2024, p. 2633-2667.
Arbitraging covered interest rate parity deviations and bank lending / Lorena Keller
Bibliografía.
I propose and test a new channel through which covered interest rate parity (CIP) deviations can affect bank lending in emerging economies. I argue that when CIP deviations exist, banks attempt to arbitrage them. To do so, banks must borrow in a particular currency. When this currency is scarce, bank lending in the currency required to arbitrage decreases, while they use this currency in their arbitrage activities. I test this channel by exploiting differences in the abilities of Peruvian banks to arbitrage CIP deviations. I find evidence that supports the proposed channel.
INTERESES BANCARIOS
PRESTAMOS
PAISES EN DESARROLLO
TIPO DE CAMBIO
The American Economic Review 0002-8282 v. 114, n. 9, September 2024, p. 2633-2667.