Plausibly Exogenous [1208] - Covered Interest Parity (05/24/2023)
LHS Variable
Deviations from covered interest parity
RHS Variable
Leverage ratio rule
Source of Exogenous Variation
Quasi-natural experiment associated with the introduction of the U.K. leverage ratio framework in January 2016, which produces plausibly exogenous variation to the leverage exposure of major U.K. dealer banks
- Cenedese, Della Corte, and Wang (2021), “Currency mispricing and dealer balance sheets”