Crypto's CIP - GDAX
Spreads between the major exchanges have widened, with opportunities for arbitrage despite the arbitrage paradox axiom that these opportunities may remain short lived should arbitrageurs neutralise them.
Similarly, following 2008, Covered Interest Parity has not held true in foreign exchange markets.
i.imgur.com/7x0RgfN.png
Initially, the violations of CIP were seen as a reflection of strains in global interbank markets. Specifically, heightened concerns about counterparty risk and constrained bank access to wholesale dollar funding inhibited arbitrage during the GFC, and again during the subsequent euro area sovereign debt crisis. But, puzzlingly, the violations have persisted even after these strains dissipated. The basis has widened since 2014, for both short- and long-term borrowing, despite fading concerns about bank credit quality and recovery in wholesale dollar funding markets.
papers.ssrn.com/sol3/papers.cfm?abstract_id=2768207
sciencedirect.com/science/article/pii/S0927538X16300439
bis.org/publ/qtrpdf/r_qt0803h.htm
bis.org/publ/qtrpdf/r_qt1609e.htm
Similarly, following 2008, Covered Interest Parity has not held true in foreign exchange markets.
i.imgur.com/7x0RgfN.png
Initially, the violations of CIP were seen as a reflection of strains in global interbank markets. Specifically, heightened concerns about counterparty risk and constrained bank access to wholesale dollar funding inhibited arbitrage during the GFC, and again during the subsequent euro area sovereign debt crisis. But, puzzlingly, the violations have persisted even after these strains dissipated. The basis has widened since 2014, for both short- and long-term borrowing, despite fading concerns about bank credit quality and recovery in wholesale dollar funding markets.
papers.ssrn.com/sol3/papers.cfm?abstract_id=2768207
sciencedirect.com/science/article/pii/S0927538X16300439
bis.org/publ/qtrpdf/r_qt0803h.htm
bis.org/publ/qtrpdf/r_qt1609e.htm
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