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The Financial Crisis through the Lens of Foreign Exchange Swap Markets

During the financial crisis, non-US banks relied increasingly on foreign exchange swap markets to fund their US dollar asset holdings. This caused the cost of borrowing US dollars via the swap market to rise above the measured cost of borrowing US dollars directly in money markets â€“ an apparent deviation from the covered interest parity condition. Pricing in the Australian dollar foreign exchange swap market, and to a lesser degree the cross-currency swap market, also reflected the global scarcity of US dollar funding at the height of the crisis.