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Analysing drivers and determinants of the cross-currency basis: a post global financial crisis perspective
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Resumo(s)
Post-GFC, global financial markets have seen notable deviations from the covered interest
parity. This thesis focuses on divergent monetary policies and market dynamics in the US,
Eurozone, the UK, and Japan, finding evidence that higher US interest rates tend to lead to a
wider cross-currency basis, highlighting the dollar's role in attracting foreign investments.
Contrary to previous studies, it is evidenced that the VIX is a significant driver, emphasising
the need for an adaptive approach in global finance, integrating traditional economic
indicators and nuanced aspects of market sentiments in an evolving financial landscape.
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Palavras-chave
Cross-currency basis Covered interest parity Monetary policy Fx swap market Global financial crisis