Transcript Macroprudential_Goodhart_Presentation1

Evidence of fire sales
(lack of natural buyers)
4
Excess profits from CIP arbitrage (short dollar spot positions)
3
(pps)
2
1
0
-1
-2
Long EURUSD spot
Short USDJPY spot
Long GBPUSD spot
Short USDCHF spot
Griffoli, Tommaso Mancini and Angelo Ranaldo, 2010, “Limits to arbitrage during the crisis: funding liquidity constraints and covered1 interest
parity”, working paper Swiss National Bank 2010-14.
Note CIP violations not present in all markets
0.5
Excess profits from CIP arbitrage (EURCHF)
0
(pps)
-0.5
-1
-1.5
-2
PlongEUR_EURCHF
Plongchf_EURCHF
Griffoli, Tommaso Mancini and Angelo Ranaldo, 2010, “Limits to arbitrage during the crisis: funding liquidity constraints and covered2 interest
parity”, working paper Swiss National Bank 2010-14.
3
4
Weekly Inter-Dealer Daily Trading Volume for TIPS
$14,000
1/16
Ambac
BSC
LEH
$12,000
Billions of Dollars
$10,000
$8,000
$6,000
$4,000
$2,000
12/26
12/31
12/30
$0
5