Transcription of Analysing Cross-Currency Basis Spreads - Europa
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Analysing Cross-Currency Basis Spreads - Europa
This paper studies the drivers behind the EUR/USD Basis swap Spreads Baran European Stability MechanismJi Witzany University of Economics, Prague DisclaimerThis Working Paper should not be reported as representing the views of the views expressed in this Working Paper are those of the author(s) and do notnecessarily represent those of the ESM or ESM Paper Series | 25 | 2017 Analysing Cross-Currency Basis SpreadsDisclaimerThis Working Paper should not be reported as representing the views of the ESM. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the ESM or ESM responsibility or liability is accepted by the ESM in relation to the accuracy or completeness of the information, including any data sets, presented in this Working Paper. European Stability Mechanism, 2017 All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the European Stability Cross-Currency Basis SpreadsJaroslav Baran1 European Stability Mechanism Ji Witzany2 University of Economics, Prague1 European Stability Mechanism; University of Economics, Faculty of Finance and Accounting, Department of Banking and Insurance, Prague, Czech R
interpretation. According to Chang and Schlogl (2012), basis swap spreads are inconsistent with a classical arbitrage argument between the spot and forward markets. In Section 3 we discuss this arbitrage argument in a slightly stricter sense in a setting where entities borrow at a risky (unsecured) rate while invest at a risk-free rate.
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