An Equilibrium Model of FX Swap Markets with a New Perspective on the Cross-currency Basis
. (2015)
  • Jean-Marc Bottazzi
  • Jaime Luque , University of Wisconsin-Madison
  • Mario Pascoa , University of Surrey
Unpublished Paper
Abstract
.
Keywords
  • FX swaps; repo; Euro-Dollar currency basis; the 2008 dollar squeeze; possession; canonical buy-sell arbitrage; central banks coordinated intervention; money markets; liquidity.
Publication Date
March, 2015
Citation Information
Jean-Marc Bottazzi, Jaime Luque and Mario Pascoa. "An Equilibrium Model of FX Swap Markets with a New Perspective on the Cross-currency Basis" . (2015)
Available at: http://works.bepress.com/luque/9/