韩国的覆盖利率平价偏差（CIPD）：谁在推动它，为什么它很重要？

Kim,MinEconomist,InternationalFinanceResearchTeam,InternationalDepartment,BankofKoreaTel.02-759-5966Email:min.kim@bok.or.kr aninstrumental variable(IV)approachandaddresstheendogeneitybetweenCIPDandtheinvestmentdecisionsofforeignersandresidents.Specifically,forforeigninvestors’KRWbondinvestment,changesinCIPDdrivenbyshiftsinresidents’demandareusedastheIV.Conversely,forresidents’overseasbondinvestment,changesinCIPDattributabletovariationsinthesupplyfromforeigners’deliverabletransactionsserveastheIV.TheanalysisfoundthatanincreaseinCIPDencouragestherepatriationofresidents’overseasinvestmentfundsandstimulatesinflowsofforeigninvestmentintoKRW-denominatedbonds⑦GiventhetightlinkagebetweenKorea’sFX marketandfinancialmarketthroughFXderivatives,thispaper underscores the necessity of a holistic analysis that accounts for cross-marketinterconnectednessusingthemicrodataoffinancialinstitutions,ratherthanrelyingonfragmentedexaminationsofindividualmarkets.■Disclaimer:Theviewsexpressedhereinarethoseoftheauthors,anddonotnecessarilyreflecttheofficialviewsoftheBankofKorea.Whenreportingorcitingthispaper,theauthors’namesshouldbealwaysexplicitlystated.■WewouldliketoexpressoursincereappreciationtoYoonKyoungsoo,YangYanghyeon,ParkKi-Dok,fortheircomments and suggestions.Anyerrorsinthispaperaresolelytheresponsibilityoftheauthors.BankofKorea I.BackgroundCoveredinterestparitydeviation(CIPD)measuresthedifferences in the costforobtainingU.S.dollarsbetween KoreanWon (KRW)-based domestic agents and US dollar (USD)-based foreign investors. Specifically, it is the differencebetweentheinterestrateimpliedbytheforeignexchange(FX)derivatives(i.e., the synthetic dollar funding) in Koreaand the interest rate paiddirectlyintheUSDcashmarket.Hence,CIPDrepresentstheadditionalspreadsthatKRW-basedinvestorsmustpaytoobtainUSDfundingin the FX derivatives market fromtheforeigninvestors.𝐶𝐼𝑃𝐷𝑡Foreign investorsare able toobtainUSDfundingdirectly(e.g., fromtherepomarketorwholesalefundingmarkets)usingUSDassets(suchasU.S.Treasuries)ascollateral.TheycansupplytheseUSDfundsintheFXswapmarket(inthe form ofSell&Buyswap)toKRW-basedinvestors.1 Underthisarrangement,foreign investors(the USD suppliers)earnaprofitequivalenttoCIPD,2 whileKRW-basedinvestors(the USD demanders)paysthisspreadasthecostofaccessingUSDliquiditythroughthederivativesmarket.Notes:The interest rate differential is the difference between the 3 month SOFR and the 3-month Korean MSB(monetarystabilization bond) rate. The forward premium is the annualized difference between the 3-month forward rate and thespot rate.CIP deviation is difference between interest differential and forward premium.Sources:Bloomberg, Bank of Korea.Therefore,CIPDcanbeinterpretedtheequilibriumpricethatemergesfromtheinteractionbetweenthedemandforandsupplyofUSDfunding.3 Theliteratureindicatesthat,inSouthKorea,CIPDisprimarilydrivenbyinsufficientsupplyintheforeigncurrencyfundingmarketrelativetodemand4—atendencythatbecomesmorepronouncedduringperiodsofglobalUSDliquiditycontraction.5This paperis the first study thatdecomposesCIPDin Koreaintosupplyanddemandfactorsusing granular data.1The KRW funds received through this swap contract are often subsequently be invested in KRW-denominated bonds.2For example, when foreign investors raise KRW by lending USD throughFXswaps (Sell & Buy), they receive a benefit equal toCIPD. Conversely, resident investors who lend KRW and raise USD funds viaFXswaps (Buy & Sell) incur a cost equivalent toCIPD.The table below provides data in February 6, 2025 to calculate CIPD.As ofFebruary 6, 2025(unit:%,%p)3Cerutti, Obstfeld, and Zhou(2021), Du and Schreger(2022).4SeeYang Yanghyeon, Lee Hyerim (2008)for CIPD in Korea.5SeeJeong (2010), Du, Tepper and Verdelhan(2018). ≡(𝑖𝑡−(𝑓𝑡−𝑠𝑡)⏞Swaprate)⏟USDfundingrateusingderivatives−𝑖𝑡∗⏟InterestrateinthecashmarketFigure1.CIPdeviationsinSouthKoreaMonetary stabilizationbonds (𝑖𝑡)(91-day)SOFR(𝑖𝑡∗)(3-month)Domestic/internationalinterest rate spread(𝑖𝑡−𝑖𝑡∗, A)Swap rate (𝑓𝑡−𝑠𝑡, B)CIPD (=A-B)2.874.30-1.43-1.610.18 Moreover,previous studies have primarily examined CIPD as an incentive for foreign investment in KRW-denominatedbonds.6However,withtherecentsignificantincreaseinoverseasinvestmentsbyKoreanresidents,CIPDhasbecomeanimportantfactorfornotonlyforeignersbutalsoresidents,asitdirectlyaffectstheUSDfundingcostsassociatedwiththeiroverseasinvestments.7 Furthermore,thesupplyofUSDthroughforeigners’non-deliverableforwards(NDFs)interactswiththespotFXmarket.8Accordingly,analyzingCIPDrequiresanintegratedapproachthatincorporatesdomesticresidents’overseasportfolioinvestmentsandtheirinteractionwiththespotFXmarket,alongsideforeigninvestors’activitiesinKRW-denominatedbonds.Withtheseconsiderationsinmind,thisstudyestablishesandestimatesamodelthatincorporatesbothsupplyanddemandfactorsinthedollarfundingmarket.Basedonthisestimatedmodel,itthenanalyzesthefactorsdrivingchangesinCIPDinmarketparticipantlevel.Finally,thestudyexaminestheimpactofahigherCIPDontheUSD/KRWexchangerate,forei