China Macroeconomics & Academia

Christopher Balding

FX & Rates

<p>A reoccurring theme is the contorted nature of the onshore and offshore RMB market.  Given some of the behavior we have outlined previously, it is not difficult to read into some of the outcomes heavy market intervention.  As an example, we have previously used, after the August 11 devaluation, the spot-futures spreads collapsed even as daily volatility quadrupled and depreciation expectations increased and were then realized. </p><p>There are other data points if we dig into the calculations that…</p>

A reoccurring theme is the contorted nature of the onshore and offshore RMB market.  Given some of the behavior we have outlined previously, it is not difficult to read into some of the outcomes heavy market intervention.  As an example, we have previously used, after the August 11 devaluation, the spot-futures spreads collapsed even as daily volatility quadrupled and depreciation expectations increased and were then realized. There are other data points if we dig into the calculations that…

Futures Market Imply Strengthening RMB: The CNH Carry Trade Play

CNY

Futures Market Imply Strengthening RMB: The CNH Carry Trade Play