{"title":"揭示新兴市场的 CIP 偏差：区别、决定因素和脱节","authors":"Eugenio Cerutti, Haonan Zhou","doi":"10.1057/s41308-023-00222-x","DOIUrl":null,"url":null,"abstract":"<p>We provide a systematic empirical analysis of short-term covered interest parity (CIP) deviations for a large set of emerging market (EM) currencies. EM CIP deviations tend to be wider and more volatile compared to most G10 currencies, and may move in an opposite direction compared to G10 currencies during global risk-off episodes. Motivated by theories of financial determinants of exchange rate, we show that while offshore EM CIP deviations are sensitive to changes in FX dealers’ risk-bearing capacities and global risk aversion, onshore CIP deviations are largely unresponsive in segmented FX markets. Meanwhile, the sensitivity of offshore CIP deviations to global factors for currencies with segmented FX markets is stronger compared to their counterparts with integrated FX markets. After accounting for global factors, we find weak evidence of country default risk and FX intervention affecting EM CIP deviations.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"11 1","pages":""},"PeriodicalIF":3.3000,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect\",\"authors\":\"Eugenio Cerutti, Haonan Zhou\",\"doi\":\"10.1057/s41308-023-00222-x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We provide a systematic empirical analysis of short-term covered interest parity (CIP) deviations for a large set of emerging market (EM) currencies. EM CIP deviations tend to be wider and more volatile compared to most G10 currencies, and may move in an opposite direction compared to G10 currencies during global risk-off episodes. Motivated by theories of financial determinants of exchange rate, we show that while offshore EM CIP deviations are sensitive to changes in FX dealers’ risk-bearing capacities and global risk aversion, onshore CIP deviations are largely unresponsive in segmented FX markets. Meanwhile, the sensitivity of offshore CIP deviations to global factors for currencies with segmented FX markets is stronger compared to their counterparts with integrated FX markets. After accounting for global factors, we find weak evidence of country default risk and FX intervention affecting EM CIP deviations.</p>\",\"PeriodicalId\":47177,\"journal\":{\"name\":\"Imf Economic Review\",\"volume\":\"11 1\",\"pages\":\"\"},\"PeriodicalIF\":3.3000,\"publicationDate\":\"2023-12-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Imf Economic Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1057/s41308-023-00222-x\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Imf Economic Review","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1057/s41308-023-00222-x","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect
We provide a systematic empirical analysis of short-term covered interest parity (CIP) deviations for a large set of emerging market (EM) currencies. EM CIP deviations tend to be wider and more volatile compared to most G10 currencies, and may move in an opposite direction compared to G10 currencies during global risk-off episodes. Motivated by theories of financial determinants of exchange rate, we show that while offshore EM CIP deviations are sensitive to changes in FX dealers’ risk-bearing capacities and global risk aversion, onshore CIP deviations are largely unresponsive in segmented FX markets. Meanwhile, the sensitivity of offshore CIP deviations to global factors for currencies with segmented FX markets is stronger compared to their counterparts with integrated FX markets. After accounting for global factors, we find weak evidence of country default risk and FX intervention affecting EM CIP deviations.
期刊介绍：
The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome.
The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein.
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