Chen Jinzhao, Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation
Disponible sur HAL-SHS
Chen Jinzhao, Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation, Paris-Jourdan Sciences Economiques – PSE , Ecole d’Économie de Paris – Paris School of Economics – EEP-PSE halshs-00660654, v1 ( http://halshs.archives-ouvertes.fr/halshs-00660654 )
This paper aims to investigate the intensity and the effectiveness of the capital controls in China from 2003 to 2010, with special attention to the period of financial turbulence that erupted in the summer of 2007. We employ a two-regime threshold autoregressive model to study the Renminbi yield differential between the onshore interest rate and its non-deliverable forward
(NDF)-implied offshore interest rate. We find that the de facto intensity of capital controls measured by the threshold increases over time, even during the period of financial turbulence. Moreover, a slightly lower speed of adjustment to the threshold implies that the capital controls are effective in this context.
OpenEdition vous propose de citer ce billet de la manière suivante :
Jacqueline Nivard (18 janvier 2012). Chen Jinzhao, Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation. ChinElectrodoc. Consulté le 13 juin 2026 à l’adresse https://doi.org/10.58079/mq8z
