资本管制下的套利交易动态：中国案例

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2023-11-22 DOI:10.1007/s10690-023-09441-8

Christopher Balding, Andros Gregoriou, Domenico Tarzia, Xiao Zhang

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引用次数: 0

摘要

尽管中国与外国之间的利率差很有吸引力，但现有的资本管制可能会阻碍货币套利交易策略的实施。我们以铜市场为重点，研究交易是否是为了执行套利交易策略。我们发现，铜的价值通过在岸-离岸利差与套利交易相关，而美元兑人民币汇率的钉住性质使得交易者对远期风险溢价漠不关心。我们排除了比索问题导致高平均回报的可能性，因为风险因素并不显著，这意味着套利交易者要么完全对冲了外汇风险，要么对外汇风险并不关心。

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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Carry Trade Dynamics Under Capital Controls: The Case of China

Despite an attractive interest rate differential between China and foreign countries, existing capital control might prevent currency carry trade strategies to be executed. We focus on the copper market to study if trades are taken in order to execute carry trade strategies. We find that copper value is related to carry trade through the onshore-offshore interest differential, while the pegged nature of the USD/CNY exchange rate makes traders indifferent to the forward risk premium. We rule out the possibility of high average payoff due to peso problems, because risk factors are insignificant, implying that carry traders are either fully hedged on FX risks, or they are unconcerned about FX risks.

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets