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）

No. 2025-10 BANK OF KOREA BOK Issue Note April 29, 2025 Covered Interest Parity Deviation (CIPD) in South Korea: Who Moves It and Why It Matters? Kim, Jihyun Economist, International Finance Research Team, International Department, Bank of Korea Tel. 02-759-5882 Email: jihyun@bok.or.kr Kim, Min Economist, International Finance Research Team, International Department, Bank of Korea Tel. 02-759-5966 Email: min.kim@bok.or.kr ① Covered interest parity deviation (CIPD) measures the differences in the cost for obtaining U.S. dollars between Korean Won (KRW)-based domestic agents and US dollar (USD)-based foreign investors. Specifically, it is the difference between the interest rate implied by the foreign exchange (FX) derivatives (i.e., the synthetic dollar funding) in Korea and the interest rate paid directly in the USD cash market. Hence, CIPD represents the additional spreads that KRW-based investors must pay to obtain USD funding in the FX derivatives market. ② CIPD is the equilibrium price for USD funding determined by the interaction of demand and supply in the FX derivatives market. On the demand side, KRW-based investors seek to raise USD by paying a premium equivalent to CIPD. On the supply side, foreign investors supply USD when the compensation exceeds the costs. It is essential to analyze both demand- and supply-side dynamics in foreign currency markets to understand changes in CIPD. ③ This paper (i) reclassifies KRW-USD derivatives transactions conducted by FX banks according to their transaction counterparties to construct a panel dataset; (ii) uses this dataset to estimate each sector of market participants’ USD funding supply and demand; (iii) decomposes changes in CIPD into the contributions of each sector; and finally (iv) investigate the implications of CIPD in terms of exchange rates and capital flows. ④ The decomposition of CIPD into resident (demand-side) and foreign (supply-side) factors demonstrates that it is indeed the interaction of both supply and demand forces that determines CIPD. During the sample period, foreign factors accounted for 61% of the changes in CIPD, while resident factors represented 39%. ⑤ To account for the implications of CIPD in terms of exchange rates, it is important to consider the role of FX banks. When foreign investors buy non-deliverable forwards (NDF), FX banks—acting as counterparties (especially foreign bank branches) —purchase USD in the spot market, and at the same time, increase the supply of USD funding in FX derivative market. This process typically leads to a rise in the USD/KRW exchange rate (i.e., KRW depreciation) and decline in CIPD, indicating reduced USD funding pressure. This paper uses the decomposed CIPD resulting from foreigners’ NDF transactions as an exogenous shock to verify this relationship between CIPD and exchange rates. ⑥ This paper also investigates the implications of CIPD in terms of capital flows. A rise in CIPD increases the incentive for foreign