Proposes a three-variable public benchmark for post-GFC CIP deviations that shows strong in-sample and leave-one-year-out performance on G10 plus KRW panels.
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A Three-Variable Benchmark for Post-GFC Covered Interest Parity Deviations
Proposes a three-variable public benchmark for post-GFC CIP deviations that shows strong in-sample and leave-one-year-out performance on G10 plus KRW panels.