【本期主题】Convertibility Restriction in China’s Foreign Exchange Market and its Impact on Forward Pricing
Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders’ ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market’s expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market’s expectation of future spot rate. Empirical results are consistent with these predictions.
【报告人】王一 斯坦福大学 经济学博士
【时 间】12月8日中午 12:00
【地 点】中国人民大学明德主楼610
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报告人简介：
王一，斯坦福大学经济学与金融学博士。2004年于芝加哥大学获得经济学与数学学士，2004—2006年于摩根斯坦利担任分析员，2008年获得斯坦福大学经济学硕士，将于2011年获得斯坦福大学经济学博士以及金融学博士。王一还曾在世界银行担任过咨询师，在NERA经济咨询担任过研究员，在芝加哥联邦储备银行担任过研究助理。主要研究领域为国际经济学、宏观经济学以及金融学等。
101015 Forward Pricing.pdf
CV Yi David Wang (department).pdf
中国人民大学财政金融学院
梁晶工作室
二零一零年十二月一日
