The dollar squeeze of the financial crisis

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dc.contributor.author Bottazzi, Jean-Marc
dc.contributor.author Luque, Jaime
dc.contributor.author Pascoa, Mario R.
dc.contributor.author Sundaresan, Suresh
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2012-01-16T12:32:34Z
dc.date.available 2012-01-16T12:32:34Z
dc.date.issued 2011-12
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/12965
dc.description.abstract By 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.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 11-39
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other FX swaps
dc.subject.other Repo
dc.subject.other Euro-Dollar currency basis
dc.subject.other The 2008 dollar squeeze
dc.subject.other Possession
dc.title The dollar squeeze of the financial crisis
dc.type workingPaper
dc.subject.jel D52
dc.subject.jel D53
dc.subject.jel G12
dc.subject.jel G14
dc.subject.jel G15
dc.subject.jel G18
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.uxxi DT/0000000892
dc.identifier.repec we1139
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