Segmented Dollar Funding

• 成果类型: Article
• 署名作者: Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo
• 署名单位: Aalto University; University of New South Wales Sydney; University of Basel; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104348
• 发表日期: 2026-10
• 页码: 104348
• 关键词: US dollar; Intermediary constraints; covered interest parity; international monetary

摘要

Deviations from covered interest rate parity (CIP) are often linked to limits to arbitrage, yet trading volumes surge during periods of apparent no-arbitrage violations. We show that these distortions stem from constraints on non-U.S. agents' access to wholesale U.S. dollar markets and reflect a premium for unencumbered synthetic dollar funding: non-U.S. banks substitute secured USD borrowing with FX swaps to meet regulatory requirements. A shadow cost-augmented CIP condition holds, implying no riskless arbitrage. U.S. dealers extract rents on dollar provision while non-U.S. customers bear $10.4 billion in additional annual hedging costs. Our results illustrate how intermediary constraints segment global dollar funding.