Can higher real output tighten covered interest parity (CIP) deviations and lessen arbitrage profits in the eurozone fixed income market for dollar-based global investors? We address the question of determining the long-run links between selected eurozone macroeconomic factors and the long-end of the EUR/USD cross-currency basis swap spread. In our stylized model, a rise in eurozone relative real output tightens the cross-currency basis and hence lowers available arbitrage profits for USD investors looking to execute arbitrage trades whereas an increase in relative money supply together with euro depreciation widens the basis and increases potential arbitrage profits. The magnitude of the effect of relative real output dominates the magnitude of the individual effects of relative money supply and exchange rate. Our empirical results are fully consistent with the stylized model.

更高的实际产出是否可以收紧以美元为基础的全球投资者在欧元区固定收益市场上的套期保值平价（CIP）偏差并减少套利利润？我们解决的问题是确定选定的欧元区宏观经济因素与欧元/美元交叉货币基础掉期利差的长期联系。在我们的程式化模型中，欧元区相对实际产出的增加收紧了跨货币基础，因此降低了寻求进行套利交易的美元投资者的可用套利利润，而相对货币供应量增加以及欧元贬值扩大了基础并增加了潜在套利利润。相对实际产出的影响程度决定了相对货币供给和汇率的个体影响程度。