EconPapers    
Economics at your fingertips  
 

China's capital controls: Through the prism of covered interest differentials

Yin-Wong Cheung and Risto Herrala ()

No 22/2013, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: We study the renminbi (RMB) covered interest differential - an indicator of the effectiveness of capital controls. It is found that the differential is not shrinking over time and, in fact, appears larger after the global financial crisis than before. That is, capital controls in China are still substantial and effective. In addition to exchange rate changes and volatilities, the RMB covered interest differential is affected by credit market tightness indicators. The marginal explanatory power of these macroeconomic factors, however, is small relative to the autoregressive component and the dummy variables that capture changes in China's policy. Keywords: NDF implied RMB interest rate, capital controls, asymmetric response, macro determinants, credit market tightness JEL: E44, F31, F32.

JEL-codes: E44 F31 F32 (search for similar items in EconPapers)
Date: 2013-08-29
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Published in Pacific Economic Review, 19: 1 (2014), pp. 112–134

Downloads: (external link)
https://helda.helsinki.fi/bof/bitstream/123456789/8264/1/172526.pdf (application/pdf)

Related works:
Journal Article: China's Capital Controls: Through the Prism of Covered Interest Differentials (2014) Downloads
Working Paper: China's Capital Controls - Through the Prism of Covered Interest Differentials (2013) Downloads
Working Paper: China's Capital Controls - Through the Prism of Covered Interest Differentials (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bof:bofitp:2013_022

Access Statistics for this paper

More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

 
Page updated 2021-05-17
Handle: RePEc:bof:bofitp:2013_022