1. International Arbitrage and Interest Rate Parity
C H A P T E R 7
International Arbitrage and Interest Rate Parity
COPYRIGHT © 2008 South-Western/Cengage Learning.

2. Exhibit 7.1 Currency Quotes for Locational Arbitrage Example

3. Exhibit 7.2 Locational Arbitrage

4. Exhibit 7.3 Example of Triangular Arbitrage

5. Exhibit 7.4 Currency Quotes for a Triangular Arbitrage Example

6. Exhibit 7.5 Example of Triangular Arbitrage Accounting for Bid/Ask Spreads

7. Exhibit 7.6 Impact of Triangular Arbitrage

8. Exhibit 7.7 Example of Covered Interest Arbitrage

9. Exhibit 7.8 Comparing Arbitrage Strategies

10. Exhibit 7.9 Illustration of Interest Rate Parity

11. Exhibit 7.10 Forward Rate Premiums and Interest Rate Differentials for Five Currencies
Note: The data are as of April 13, The forward rate premium is based on the 6-month forward rate and is annualized. The interest rate differential represents the difference between the 6-month annualized U.S. interest rate and the 6-month foreign interest rate.

12. Exhibit 7.11 Potential for Covered Interest Arbitrage When Considering Transaction Costs

13. Exhibit 7.12 Quoted Interest Rates for Various Times to Maturity

14. Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time

15. Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time (continued)

16. Exhibit 7.13 Relationship between Interest Rate Differentials and Forward Rate Premiums over Time (continued)