SSRN-Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity by Tommaso Mancini-Griffoli, Angelo Ranaldo

SSRN-Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity by Tommaso Mancini-Griffoli, Angelo Ranaldo:

"...this paper finds that following the Lehman bankruptcy, these were large, persisted for months and involved strategies short in dollars. But few were the traders able to reap these profits. The constraint did not arise from elevated risks, but from insufficient funding liquidity in dollars."