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Capital Controls and Interest Rate Parity:

Evidences from China, 1999-2004∗



March 2005


Li-Gang Liu and Ichiro Otani

Abstract




This paper shows that deviations estimated from the uncovered interest rate parity
condition present strong unstationarity and persistency, thus indicating China’s capital
controls is still effective in driving a wedge between onshore and offshore returns.
Similar results are also obtained from covered interest rate parity condition. Our findings
also demonstrate that there is no evidence of money market integration with Hong Kong.
However, the deviation also shows signs of moderation over time because of increased
pace of capital account liberalization.




Key Words: Capital Controls, Interest Rate Parity, Financial Integration

JEL Classification: F31, F36




∗
The authors are senior fellow and international consulting fellow, Research Institute of
Economy, Trade, and Industry, respectively. The paper is prepared for the
RIETI/BIS/BOC Conference on Globalization of Financial Services in China:
Implications for Capital Flows, Supervision, and Monetary Policy” on Saturday 19th 2005.
The views expressed here are those of the authors alone and do not repre



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