Pricing RMB Policy Risk: Evidence From Onshore and Offshore FX Option Markets

IF 2.3 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2026-10-11 DOI:10.1111/irfi.70106

Nan He, Tan Wang

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Abstract

This paper examines how onshore and offshore RMB option markets price potential shifts in China's RMB exchange rate regime. We calibrate a regime-switching option pricing model to USD/CNY and USD/CNH options to recover daily risk-neutral parameters summarizing the pricing of regime-switching risk, including the risk-neutral switching probability, the size of a possible RMB realignment, and exchange-rate volatility under a possible new regime. This allows us to quantify and compare policy-related tail-risk pricing embedded in option prices over the past decade. The results show that CNH options price larger potential RMB devaluations and higher exchange-rate volatility under a possible new regime than CNY options, especially during stress periods, whereas CNY options imply higher risk-neutral switching probabilities. An event study around the introduction of the countercyclical factor further shows that CNY and CNH option-implied risk-neutral distributions evolved differently before and after the policy announcement. These findings point to segmented risk-neutral pricing of RMB policy-related risk across onshore and offshore option markets.

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人民币政策风险定价：来自在岸和离岸外汇期权市场的证据

本文考察了在岸和离岸人民币期权市场在中国人民币汇率机制下的潜在变动。我们将一个机制转换期权定价模型校准为美元/人民币和美元/CNH期权，以恢复总结机制转换风险定价的每日风险中性参数，包括风险中性转换概率、可能的人民币调整规模和可能的新机制下的汇率波动率。这使我们能够量化和比较过去十年期权价格中隐含的与政策相关的尾部风险定价。结果表明，在可能的新制度下，CNH期权比CNY期权定价更大的潜在人民币贬值和更高的汇率波动，特别是在压力时期，而CNY期权意味着更高的风险中性转换概率。一项围绕引入逆周期因素的事件研究进一步表明，在政策宣布前后，CNY和CNH期权隐含的风险中性分布发生了不同的演变。这些发现表明，在岸和离岸期权市场的人民币政策相关风险定价存在风险中性分化。

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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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.