CHAPTER 7 International Arbitrage and Interest Rate Parity
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Exhibit 7.1 Currency Quotes for Locational Arbitrage Example
Exhibit 7.2 Locational Arbitrage
Exhibit 7.3 Example of Triangular Arbitrage
Exhibit 7.4 Currency Quotes for a Triangular Arbitrage Example
Exhibit 7.5 Example of Triangular Arbitrage Accounting for Bid/Ask Spreads
Exhibit 7.6 Impact of Triangular Arbitrage
Exhibit 7.7 Example of Covered Interest Arbitrage
Exhibit 7.8 Comparing Arbitrage Strategies
Exhibit 7.9 Illustration of Interest Rate Parity
Exhibit 7.10 Forward Rate Premiums and Interest Rate Differentials for Five Currencies
Note: The data are as of April 13, 2007. The forward rate premium is based on the 6-month forward rate and is annualized. The interest rate differential represents the difference between the 6-month annualized U.S. interest rate and the 6-month foreign interest rate.
Exhibit 7.11 Potential for Covered Interest Arbitrage When Considering Transaction Costs
Exhibit 7.12 Quoted Interest Rates for Various Times to Maturity
Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time
Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time (continued)
Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time (continued)