TY  - CHAP
AB  - 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.
VL  - 9
SN  - 978-0-85724-745-2, 978-0-85724-746-9/1574-8715
DO  - 10.1108/S1574-8715(2011)0000009020
UR  - https://doi.org/10.1108/S1574-8715(2011)0000009020
AU  - Cheung Yin-Wong
AU  - Qian XingWang
ED  - Yin-Wong Cheung
ED  - Vikas Kakkar
ED  - Guonan Ma
PY  - 2011
Y1  - 2011/01/01
TI  - Chapter 15 Deviations from Covered Interest Parity: The Case of China
T2  - The Evolving Role of Asia in Global Finance
T3  - Frontiers of Economics and Globalization
PB  - Emerald Group Publishing Limited
SP  - 369
EP  - 386
Y2  - 2024/04/23
ER  -