China's capital controls : Through the prism of covered interest differentials
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
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Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 112-134 |
Journal / Publication | Pacific Economic Review |
Volume | 19 |
Issue number | 1 |
Publication status | Published - Feb 2014 |
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Abstract
We study the renminbi 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 renminbi 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. © 2014 Wiley Publishing Asia Pty Ltd.
Citation Format(s)
China's capital controls : Through the prism of covered interest differentials. / Cheung, Yin-Wong; Herrala, Risto.
In: Pacific Economic Review, Vol. 19, No. 1, 02.2014, p. 112-134.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review