Markups to financial intermediation in foreign exchange markets
Abstract/Contents
- Abstract
- Even in deep, liquid asset markets, financial intermediaries may have market power. To identify the effects of market power on asset prices, I study foreign exchange market arbitrages implied by deviations from covered interest rate parity. Previous literature equates these arbitrages to the shadow price of a balance sheet constraint on foreign exchange dealer banks. My work identifies cross-sectional variation in arbitrage returns that is inconsistent with the standard balance sheet constraint channel. My identification strategy relies on cross-country differences in the enforcement of capital constraints that decrease competition near quarter-end. Using a model of imperfect competition, I decompose CIP arbitrage returns into balance sheet cost and markup. Markups explain a significant portion of CIP arbitrage returns
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2020; ©2020 |
| Publication date | 2020; 2020 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Wallen, Jonathan |
|---|---|
| Degree supervisor | Hebert, Benjamin |
| Degree supervisor | Krishnamurthy, Arvind |
| Thesis advisor | Hebert, Benjamin |
| Thesis advisor | Krishnamurthy, Arvind |
| Thesis advisor | Duffie, Darrell |
| Thesis advisor | Lustig, Hanno |
| Thesis advisor | Somaini, Paulo |
| Degree committee member | Duffie, Darrell |
| Degree committee member | Lustig, Hanno |
| Degree committee member | Somaini, Paulo |
| Associated with | Stanford University, Graduate School of Business. |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Jonathan Wallen |
|---|---|
| Note | Submitted to the Graduate School of Business |
| Thesis | Thesis Ph.D. Stanford University 2020 |
| Location | electronic resource |
Access conditions
- Copyright
- © 2020 by Jonathan Wallen
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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