IDEAS home Printed from https://ideas.repec.org/h/eme/fegzzz/s1574-8715(2011)0000009020.html
   My bibliography  Save this book chapter

Chapter 15 Deviations from Covered Interest Parity: The Case of China

In: The Evolving Role of Asia in Global Finance

Author

Listed:
  • Yin-Wong Cheung
  • XingWang Qian

Abstract

We study the empirical determinants of the Chinese renminbi (RMB) covered interest differential. The canonical macroeconomic variables including capital flight and the factors that affect country risk, and a few China-specific regulatory and institutional factors are considered. It is found that the effects of these canonical macroeconomic variables on the RMB covered interest differential are largely consistent with those reported in the literature. Further, the covered interest differential was affected by China's general capital control policy and its exchange rate reform program, but not its political risk index. The effects of these explanatory variables on the covered interest differential appear to work mainly via the forward premium rather than the interest rate differential component. The results are largely the same across the onshore and offshore RMB forward rates that cover different sample periods.

Suggested Citation

  • Yin-Wong Cheung & XingWang Qian, 2011. "Chapter 15 Deviations from Covered Interest Parity: The Case of China," Frontiers of Economics and Globalization, in: The Evolving Role of Asia in Global Finance, pages 369-386, Emerald Group Publishing Limited.
  • Handle: RePEc:eme:fegzzz:s1574-8715(2011)0000009020
    DOI: 10.1108/S1574-8715(2011)0000009020
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1574-8715(2011)0000009020/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1574-8715(2011)0000009020/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1574-8715(2011)0000009020
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1574-8715(2011)0000009020/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1108/S1574-8715(2011)0000009020?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zheng, Huanhuan, 2023. "Original sin redux and deviations from covered interest parity," Journal of International Money and Finance, Elsevier, vol. 139(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:fegzzz:s1574-8715(2011)0000009020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.