韩国央行-韩国的覆盖利率平价偏差（CIPD）_谁在推动它_为什么它很重要_（英）-2025_16页_1mb

CIPD: Overview and Decomposition

• Definition: Covered Interest Parity Deviation (CIPD) measures the difference between the cost of obtaining USD funding via FX derivatives in Korea and the USD cash market.
• Decomposition: Changes in CIPD are driven by both supply (foreign entities) and demand (domestic entities). Foreign factors explain 61% of changes, while domestic factors account for 39%.

Impact on Markets

• Dollar Funding Market: Increases in CIPD result from higher demand (domestic entities) or reduced supply (foreigners). Conversely, higher supply lowers CIPD.
• Spot Exchange Market: Foreigners' NDF purchases prompt FX banks to buy USD via spot transactions, increasing the USD/KRW exchange rate and decreasing CIPD.
• Bond Markets:
  • Higher CIPD encourages foreign investment in KRW-denominated bonds.
  • Domestic residents reduce overseas bond investments due to higher dollar funding costs.

Policy Implications

• Interconnected Markets: Korean FX and financial markets are interlinked through FX derivatives. A holistic analysis using microdata is essential to understand CIPD spillovers.
• Financial Stability: Monitoring CIPD helps regulate capital flows and FX market volatility.

References

• Supplied by request. Note that detailed methodology and additional material are not included but covered in the original analysis.