Desviaciones de la paridad cubierta de tasas de interés: experiencia internacional y el caso de Chile
Abstract
The covered interest-rate parity (CIP) is normally seen as both a theoretical and empirical reality arising from the non-arbitrage of international markets. However, this was not true during the global financial crisis of 2008 for the main currencies of the world, a situation that has surprisingly remained until today. In Chile, it can be seen that the CIP actually broke down during the financial crisis but, since 2012-2013, it has been restored. Analyzing the movements of sovereign CDS bonds, we conclude that credit risk cannot by itself explain the deviations of the CIP. We do not find the same relationship between the strong dollar and the deviation of the CIP observed in international markets. In the case of Chile, our results suggest that the effect of the strong dollar on the on-shore spread is more closely related to variations in the demand for currency hedging.
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