Covered interest parity in emerging markets: Measurement and drivers

• 成果类型: Article
• 署名作者: Dao, Mai Chi; Gourinchas, Pierre-Olivier
• 署名单位: International Monetary Fund; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2026.104231
• 发表日期: 2026
• 关键词: DEVIATIONS; credit; dollar

摘要

We study the behavior of Covered Interest Parity (CIP) deviations-aka the CIP basis-in Emerging Markets (EM). A major challenge in computing the CIP basis in EM's lies in measuring local currency interest rates which are free of local credit risk and market segmentation. To do so, we construct a 'purified' CIP basis for eight major EM currencies using supranational bonds issued in EM local currencies and US dollar going back twenty years. We show that this 'purified' CIP basis aligns well with theory-implied predictions. In the cross-section and the time-series, the basis correlates with fundamental forces driving supply and demand for dollar forwards. Shocks to global dollar funding costs, global intermediary's balance sheet capacity, and the demand for dollar safe assets interact with currency-specific dollar hedging and funding needs in moving the CIP basis in EM's.