Non-Deliverable Forwards: Impact of Currency Internationalisation and Derivatives Reform

13 Pages Posted: 22 Dec 2016

See all articles by Robert N. McCauley

Robert N. McCauley

Bank for International Settlements (BIS)

Chang Shu

Independent

Date Written: December 11, 2016

Abstract

Global turnover in non-deliverable forwards (NDFs) continues to rise in aggregate. But the paths of NDF markets have diverged across currencies: renminbi internationalisation has led to rapid displacement of NDFs by deliverable forwards, while the NDF market has retained or even gained in importance in other emerging market economy currencies. Policy reforms to reduce systemic risk in derivatives markets are changing the microstructure of the NDF market.

JEL Classification: F31, G15, G18

Suggested Citation

McCauley, Robert N. and Shu, Chang, Non-Deliverable Forwards: Impact of Currency Internationalisation and Derivatives Reform (December 11, 2016). BIS Quarterly Review December 2016. Available at SSRN: https://ssrn.com/abstract=2888226

Robert N. McCauley (Contact Author)

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

Chang Shu

Independent ( email )

No Address Available

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