Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322026 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
ECB Working Paper No. 3017
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease following a widening in the USD-EUR cross-currency basis (CCB). This effect is driven by investors with larger FX rollover risk and hedging mandates, and it is robust to instrumenting the CCB. These shifts in bond demand significantly affect bond prices. Our findings shed light on a new determinant of international capital flows with important consequences for financial stability.
Schlagwörter: 
Institutional Investors
Currency Hedging
FX Swap
Derivatives
ForeignExchange
JEL: 
F21
F31
G11
G21
G22
G23
E44
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-6993-2
Dokumentart: 
Working Paper

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