Econ Papers Daily / 工作论文
新兴市场中的离岸远期与汇率传导
Offshore forwards and exchange rate transmission in emerging markets
摘要
We study how offshore non-deliverable forward (NDF) markets transmit exchange-rate pressures to domestic currency markets. Using unique transaction-level data on the universe of centrally cleared NDFs for ten emerging-market currencies over 2013–2025, we show that offshore NDF order flow moves both offshore forward and domestic spot exchange rates and widens the offshore–onshore forward spread. To our knowledge, this is the first transaction-level evidence on price formation in these markets. A $1 billion long-USD order flow depreciates the domestic spot rate by about 10 basis points and the offshore NDF rate by about 18 basis points. The spot impact is larger when dealer balance sheets are tight. Policy episodes in the Chinese renminbi, Malaysian ringgit, and Indian rupee show how changes in offshore speculative activity and arbitrage between offshore and onshore markets affect the spread and domestic exchange rates. We rationalize these findings with a model in which offshore demand pressure generates NDF order flow, dealers hedge inventory through domestic spot markets, and capital controls limit intermediation between offshore and onshore forward markets.
中文摘要
我们研究离岸无本金交割远期（NDF）市场如何将汇率压力传导至国内货币市场。利用2013—2025年间十种新兴市场货币全部中央清算NDF的独特交易级数据，我们表明，离岸NDF订单流同时推动离岸远期汇率与国内即期汇率变动，并扩大离岸—在岸远期价差。据我们所知，这是关于这些市场价格形成的首个交易级证据。10亿美元的多头美元订单流使国内即期汇率贬值约10个基点，使离岸NDF汇率贬值约18个基点。当交易商资产负债表紧张时，即期汇率受到的影响更大。中国人民币、马来西亚林吉特和印度卢比的政策事件表明，离岸投机活动的变化以及离岸与在岸市场之间的套利如何影响价差和国内汇率。我们用一个模型来合理解释这些发现：在该模型中，离岸需求压力产生NDF订单流，交易商通过国内即期市场对冲库存，而资本管制限制了离岸与在岸远期市场之间的中介活动。