Demand Effects in the FX Forward Market: Micro Evidence from Banks’ Dollar Hedging
利用合同级监管数据，发现非美国银行在季度末卖出美元远期时价格和成交量更高，这源于银行通过远期对冲资产负债表上的美元资产敞口，以降低外汇风险资本要求，从而解释了利率平价的偏离。
Abstract Using contract-level supervisory data, we show that dollar forward sales by non-U.S. banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets that they can hedge around quarter ends by selling dollars forward (increasing off-balance-sheet short positions), which suggests regulatory arbitrage to reduce capital charges for open foreign exchange (FX) exposure. Our results indicate that demand effects related to banks’ management of FX exposure are an important driver of deviations from covered interest rate parity.