Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80511
Authors: 
Cheung, Yin-Wong
Herrala, Risto
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4377
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.
Subjects: 
NDF implied RMB interest rate
capital controls
asymmetric response
macro determinants
credit market tightness
JEL: 
E44
F31
F32
Document Type: 
Working Paper

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