Series: IMF Working Papers
Author(s): Gee Hee Hong , Anne Oeking , Kenneth Kang , and Changyong Rhee
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 02 August 2019
Keywords: Financial crises, Central banks, Financial institutions, Macroprudential policies and financial stability, Exchange risk, Covered interest parity, limits to arbitrage, U.S.dollar funding, FX swaps., IIP
Asian countries have high demand for U.S. dollars and are sensitive to U.S. dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market t...