Covered Interest Parity Deviations: Macrofinancial Determinants
NBER Working Paper No. 26129
---- Acknowledgments ----
Cerutti is at the Asia and Pacific Department of the International Monetary Fund (IMF). Obstfeld and Zhou are now at the University of California, Berkeley, and Princeton University, respectively. Much of this work was done while all at the IMF. We thank Paul Cashin, Oyakhilome Ibhagui, Gee Hee Hong, Anne-Charlotte Paret-Onorato, Piotr Kopyrski, Roman Lafarguette, and Chris Walker for their comments. We are grateful to Gordon Liao for sharing his residualized credit spread data. The opinions expressed herein are solely the responsibility of the authors and should not be interpreted as reflecting those of the IMF, its Executive Board, IMF management, or the National Bureau of Economic Research. This Paper was also published as IMF Working Paper 19/14.