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）-2025.pdfVIP

No.2025-10BANKOFKOREA

BOKIssueNote

April29,2025

CoveredInterestParityDeviation(CIPD)inSouthKorea:

WhoMovesItandWhyItMatters?

Kim,JihyunKim,Min

Economist,InternationalFinanceResearchTeam,Economist,InternationalFinanceResearchTeam,

InternationalDepartment,BankofKoreaInternationalDepartment,BankofKorea

Tel.02-759-5882Tel.02-759-5966

Email:jihyun@bok.or.krEmail:min.kim@bok.or.kr

①Coveredinterestparitydeviation(CIPD)measuresthedifferencesinthecostforobtainingU.S.

dollarsbetweenKoreanWon(KRW)-baseddomesticagentsandUSdollar(USD)-basedforeign

investors.Specifically,itisthedifferencebetweentheinterestrateimpliedbytheforeignexchange

(FX)derivatives(i.e.,thesyntheticdollarfunding)inKoreaandtheinterestratepaiddirectlyin

theUSDcashmarket.Hence,CIPDrepresentstheadditionalspreadsthatKRW-basedinvestors

mustpaytoobtainUSDfundingintheFXderivativesmarket.

②CIPDistheequilibriumpriceforUSDfundingdeterminedbytheinteractionofdemandandsupply

intheFXderivativesmarket.Onthedemandside,KRW-basedinvestorsseektoraiseUSDby

payingapremiumequivalenttoCIPD.Onthesupplyside,foreigninvestorssupplyUSDwhenthe

compensationexceedsthecosts.Itisessentialtoanalyzebothdemand-andsupply-sidedynamics

inforeigncurrencymarketstounderstandchangesinCIPD.

③Thispaper(i)reclassifiesKRW-USDderivativestransactionsconductedbyFXbanksaccording

totheirtransactio