Interest Arbitrage under Capital Controls: Evidence from Reported Entrepôt Trades

Jiafei Hu, Haishan Yuan
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引用次数: 1

Abstract

Abstract Capital controls segment the offshore credit market of Chinese renminbi from the onshore market. Using a novel administrative data set, we provide evidence that firms arbitrage the onshore-offshore interest differentials using bank-intermediated “entrepot trades,” which supposedly re-export imports with little or no processing. Onshore-offshore interest differentials drive renminbi inflows from entrepot trades, which strongly predict 1-year-forward outflows to settle bank-issued letters of credit. The patterns and timing of entrepot trade flows are consistent with lending by onshore banks and borrowing from offshore banks through bank-intermediated trade finance. A larger interest differential allows transactions with a lower value to be profitable and induces entry into arbitrages. Our findings suggest that renminbi interest arbitrages are feasible but costly under capital controls.
资本管制下的利息套利:来自Entrepôt交易报告的证据
资本管制将人民币离岸信贷市场与在岸市场分割开来。通过使用一个新的管理数据集,我们提供了证据,证明企业利用银行中介的“转口贸易”套利在岸和离岸利差,这种贸易被认为是在很少或没有加工的情况下再出口进口。在岸和离岸利差推动转口贸易中的人民币流入,这有力地预示着未来1年的人民币流出将用于结算银行开立的信用证。转口贸易流动的模式和时机与在岸银行的贷款和通过银行中介的贸易融资向离岸银行借款是一致的。较大的息差使价值较低的交易有利可图,并诱发套利行为。我们的研究结果表明,在资本管制下,人民币利率套利是可行的,但代价高昂。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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