This paper examines how US monetary policy uncertainty(MPU)affects RMB deviations from covered interest parity(CIP)and how this effect is influenced by China’s capital controls,the RMB exchange rate regime,and intern...This paper examines how US monetary policy uncertainty(MPU)affects RMB deviations from covered interest parity(CIP)and how this effect is influenced by China’s capital controls,the RMB exchange rate regime,and international reserves that constrain the transmitting channel of US MPU shocks.Our findings show that US MPU has a spill-over effect and creates deviations from RMB CIP.Capital controls insulate uncertainty shocks and alleviate the US MPU spill-over effect.There are some evidence that inter-national reserves alleviate and the liberalised RMB exchange rate regime magnifies the spill-over effect.However,their effects become insignificant in the presence of capital controls.Moreover,the US MPU effect on RMB CIP deviations becomes prominent after the 2008 global financial crisis.展开更多
基金supported by the National Natural Science Foundation of China[Grant No.72103077]the Humanities and Social Sciences Foundation of the Ministry of Education of China[Grant No.21YJC790073]+3 种基金the Natural Science Foundation of Guangdong Province[Grant No.2021A1515011422]and[Grant No.2022A1515012000]the Social Science Foundation of Guangdong Province[Grant No.GD20YYJ02]the Social Science Foundation of Guangzhou[Grant No.2020GZQN14]the self-built fund from the Institute of Finance at Jinan University.
文摘This paper examines how US monetary policy uncertainty(MPU)affects RMB deviations from covered interest parity(CIP)and how this effect is influenced by China’s capital controls,the RMB exchange rate regime,and international reserves that constrain the transmitting channel of US MPU shocks.Our findings show that US MPU has a spill-over effect and creates deviations from RMB CIP.Capital controls insulate uncertainty shocks and alleviate the US MPU spill-over effect.There are some evidence that inter-national reserves alleviate and the liberalised RMB exchange rate regime magnifies the spill-over effect.However,their effects become insignificant in the presence of capital controls.Moreover,the US MPU effect on RMB CIP deviations becomes prominent after the 2008 global financial crisis.
