本稿は2007年8月のパリバショックから5年半余りを経過した現在においても, 為替スワップにおける約定金利が原資産との裁定関係を前提とする理論値に収斂せず, 短期カバー付き金利平価(CIP)均衡が成立しない状態が続く原因の解明を試みるものである。常態化する乖離は何らかの理由で裁定取引が制約を受けていることを示唆するが, 本稿では金融危機後に導入・強化された金融規制の影響があるとの仮定に基づき分析を進めた。CIPからの乖離が示す超過収益は目下, 金融規制によって押し上げられた資本調達コストとの見合いで過小である。このため裁定機会は放置され理論値からの乖離が継続していると考えられる。
This study elucidates the reasons why, from the August 2007 BNP Paribas shock until now, five and a half years later, interest rates in FX swaps do not converge toward theoretical values resulting from the relationship between underlying assets and arbitrage, and the reason why short-term covered interest parity (CIP) equilibrium does not continue. 
This situation indicates that arbitrage opportunities are being restricted by some reason. 
This study develops an analysis based on the hypothesis that the introduction and strengthening of financial regulations after the financial crisis are also exerting influence. 
Expected income from such arbitrage, indicated by the deviation from CIP, is currently too low in contrast to capital procurement costs, which are boosted by financial regulations. 
Hence, we can consider that a deviation from CIP continues as long as arbitrage opportunities are repressed by the presence of financial regulations.

論説