Publication:
The dollar squeeze of the financial crisis

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBottazzi, Jean-Marc
dc.contributor.authorLuque, Jaime
dc.contributor.authorPascoa, Mario R.
dc.contributor.authorSundaresan, Suresh
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2012-01-16T12:32:34Z
dc.date.available2012-01-16T12:32:34Z
dc.date.issued2011-12
dc.description.abstractBy Covered Interest rate Parity (CIP), the FX swap implied currrency interest rates should coincide with actual interest rates. When a difference occurs, the residual is referred to as the cross currency basis. We link the Euro- Dollar currency basis (e.g. in 2008) to shadow prices of dollar funding constraints and interpret the basis as the relative physical possession value of the scarcer currency, or the “convenience yield” associated with that currency. This is similar to specialness in repo markets, expressing the physical possession value of a security. We examine how the coordinated central banks intervention can reduce the currency basis.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.repecwe1139
dc.identifier.urihttps://hdl.handle.net/10016/12965
dc.identifier.uxxiDT/0000000892
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries11-39
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.jelD52
dc.subject.jelD53
dc.subject.jelG12
dc.subject.jelG14
dc.subject.jelG15
dc.subject.jelG18
dc.subject.otherFX swaps
dc.subject.otherRepo
dc.subject.otherEuro-Dollar currency basis
dc.subject.otherThe 2008 dollar squeeze
dc.subject.otherPossession
dc.titleThe dollar squeeze of the financial crisis
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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