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Равенство фиксированных/плавающих процентных ставок - Маттиас Флекенштейн, Свен Клинглер, Фрэнсис А. Длинный кадр
Мы представляем новое соглашение без арбитража, которое мы называем фиксированным/плавающим паритетом процентных ставок. Эту связь можно рассматривать как внутреннюю версию паритета процентных ставок. Мы проверяем эту связь с использованием облигаций с фиксированной ставкой и векселей с плавающей ставкой на рынке задолженности различных агентств США и документально фиксируем значительные нарушения. Эти нарушения в значительной степени не связаны с другими арбитражными разбирательствами и мерами, связанными с промежуточными ограничениями. Вместо этого они тесно связаны с поведением денежного рынка
7 ноября 2026 г. · Источник: NBER new working papers
We present a new no-arbitrage relation which we denote as fixed/floating interest rate parity. This relation can be viewed as a domestic version of covered interest rate parity. We test this relation using fixed-rate bonds and floating-rate notes in the multi-trillion U.S. agency debt market and document significant violations. These violations are largely unrelated to other arbitrage spreads and measures of intermediary constraints. Instead, they are closely tied to the behavior of money market funds which hold the vast majority of agency floating-rate notes. Our results identify clientele effects as a source of persistent mispricing. Acknowledgements and Disclosures Matthias Fleckenstein is with the University of Delaware. Sven Klingler is with the Frankfurt School of Finance and Management. Francis A. Longstaff is with the UCLA Anderson School and the NBER. We are grateful for helpful comments from Olav Syrstad. All errors are our responsibility. Klingler gratefully acknowledges support from the European Research Council (ERC grant no. 101040188). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Matthias Fleckenstein is with the University of Delaware. Sven Klingler is with the Frankfurt School of Finance and Management. Francis A. Longstaff is with the UCLA Anderson School and the NBER. We are grateful for helpful comments from Olav Syrstad. All errors are our responsibility. Klingler gratefully acknowledges support from the European Research Council (ERC grant no. 101040188). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Citation and Citation Data Copy Citation Matthias Fleckenstein, Sven Klingler, and Francis A. Longstaff, "Fixed/Floating Interest Rate Parity," NBER Working Paper 35977 (2026), https://doi.org/10.3386/w35977. Copy to Clipboard Download Citation MARC RIS BibTeΧ Download Citation Data In addition to working papers, the NBER disseminates affiliates’ latest findings through a range of free periodicals—the NBER Reporter, the NBER Digest, the Bulletin on Health, the Bulletin on the Economics of Alzheimer's, and the Bulletin on Entrepreneurship—as well as research spotlights, lectures, and panel videos. Presenters: Melissa Dell & Ashesh Rambachan Presenter: Paul Goldsmith-Pinkham