摘要：By developing an equilibrium model of the FX swap market,
this paper studies the determinants of deviations from
covered interest rate parity (CIP) and investigates how changes
in the environment surrounding the FX swap market affect the
U.S. dollar funding of global banks. We find that the role of
global banks’ creditworthiness in determining CIP deviations
has been supplanted by global interest rate differentials, which
reflect monetary policy divergence among advanced economies.
Our model and an empirical analysis suggest that the sensitivity
of CIP deviations to variation in global interest rate
differentials has risen, as regulatory reforms have increased
the marginal cost of global banks’ dollar funding. We also
show that real money investors have increased their presence
as suppliers of U.S. dollars in the FX swap market and their
investment behavior has significantly affected CIP deviations
and hence the dollar funding of global banks.
