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BibTex format

@article{Cenedese:2021:10.1111/jofi.13079,
author = {Cenedese, G and Della, Corte P and Wang, T},
doi = {10.1111/jofi.13079},
journal = {The Journal of Finance},
pages = {2763--2803},
title = {Currency mispricing and dealer balance sheets},
url = {http://dx.doi.org/10.1111/jofi.13079},
volume = {76},
year = {2021}
}

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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique data set of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the U.K. leverage ratio framework. Dealers who are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This finding holds even after controlling for changes in clients' demand. Also, some clients increase their trading activity with unaffected dealers with whom they already had a preexisting relationship.
AU  - Cenedese,G
AU  - Della,Corte P
AU  - Wang,T
DO  - 10.1111/jofi.13079
EP  - 2803
PY  - 2021///
SN  - 0022-1082
SP  - 2763
TI  - Currency mispricing and dealer balance sheets
T2  - The Journal of Finance
UR  - http://dx.doi.org/10.1111/jofi.13079
UR  - http://hdl.handle.net/10044/1/82095
VL  - 76
ER  -

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Professor Pasquale Della Corte

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