Pension fund flows, exchange rates, and covered interest rate parity

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dc.coverageDOI: 10.1016/j.jfineco.2025.104075
dc.creatorAldunate, Felipe
dc.creatorDa, Zhi
dc.creatorLarrain, Borja
dc.creatorSialm, Clemens
dc.date2025
dc.date.accessioned05-01-2026 18:15
dc.date.available05-01-2026 18:15
dc.description<p>Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows induce substantial changes in the Chilean foreign exchange rate due to the funds’ high allocation to international securities. Local banks provide liquidity to pension funds in the spot market and their hedging transactions propagate the demand fluctuations from the spot to the forward market, resulting in deviations from covered interest rate parity. Using bank balance sheet data, we confirm that banks’ risk bearing constraints create limits to arbitrage.</p>eng
dc.identifierhttps://investigadores.uandes.cl/en/publications/80f99f8a-9c90-4701-a857-04f0ac5c8df9
dc.languageeng
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.sourcevol.170 (2025)
dc.subjectCIP deviations
dc.subjectExchange rates
dc.subjectMarket efficiency
dc.subjectPension funds
dc.titlePension fund flows, exchange rates, and covered interest rate parityeng
dc.typeArticleeng
dc.typeArtículospa
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