2023-02-28-IMF-揭示新兴市场CIP偏差_区别_决定因素和脱节（英）_49页_2mb

IMF Working Paper Summary: Uncovering CIP Deviations in Emerging Markets

Key Findings:

1. Distinctive Features of EM CIP Deviations:

   • EM CIP deviations exhibit higher volatility compared to G10 currencies.
   • They move in the opposite direction during global risk-off episodes.
   • Segmented FX markets (onshore vs off-shore) show varying sensitivity to global risk factors.

2. Global Risk Factors' Impact:

   • Offshore EM CIP deviations are sensitive to global risk aversion and intermediaries' risk-bearing capacity (e.g., FX dealer leverage).
   • Onshore CIP deviations are less sensitive, partly due to market segmentation.

3. Country-Specific Factors:

   • Sovereign default risk has weak correlation with EM CIP deviations.
   • FX intervention may influence onshore CIP deviations, but effects vary by market integration.

4. Policy Implications:

   • Capital flow management and FX interventions can mitigate external finance premia.
   • Market segmentation hinders policy transmission to off-shore markets.
   • Constraints on participation in offshore markets may discourage foreign investment.

Conclusion:
EM CIP deviations are influenced by both global and country-specific factors, with segmentation playing a key role. Policymakers must balance regulation, intervention, and open market participation to stabilize financial conditions and FX markets.