美联储-数量和覆盖利息平价（英）-2024.7-93页

FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(Online)QuantitiesandCovered-InterestParityTobiasJ.Moskowitz,ChaseP.Ross,SharonY.Ross,KaushikVasudevan2024-061Pleasecitethispaperas:Moskowitz,TobiasJ.,ChaseP.Ross,SharonY.Ross,andKaushikVasudevan(2024).“QuantitiesandCovered-InterestParity,”FinanceandEconomicsDiscussionSeries2024-061.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.061.NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.QuantitiesandCovered-InterestParityTobiasJ.Moskowitz,ChaseP.Ross,SharonY.Ross,KaushikVasudevan∗July11,2024AbstractStudiesofintermediatedarbitragearguethatbankbalancesheetsareanimportantconsideration,yetlittleevidenceexistsonbanks’positioninginthiscontext.Usingconfidentialsupervisorydata(covering$25trillionindailynotionalexposures)weexaminebanks’positionsinconnectionwithcovered-interestparity(CIP)deviat...