A Study on the Interactions of China's Exchange Rate Dynamics and China-U.S. Bond Spreads

• Main Authors: ZHOU,XIAO-YU, 周小榆
• Other Authors: WANG,KAI-LI
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/dy8ayd

碩士 === 東海大學 === 財務金融學系 === 106 === This paper is aimed at China's four main onshore and offshore exchange rates (CNY, CNYM, CNH and NDF), four exchange rate spreads (CNH-CNY, CNH-CNYM, NDF-CNY and NDF- CNYM) and China-U.S. bond spreads. For the research object, the DCC-GARCH model was used to explore the interaction between exchange rate dynamics and bond spreads. The empirical findings show that (1) the bond spread has a significant estimate of the offshore exchange rate, which represents a significant impact on the exchange rate. In addition, there is a significant information transmission effect between the price difference between the offshore exchange rate (CNH&NDF) and the central parity price (CNYM) and the China-U.S. bond spread. (2) This paper finds that bond spread has a significant explanatory power for the RMB exchange rate (CNY and CNYM) in the general periods; while the quantitative easing period, the bond spread has a greater impact on the offshore CNH. (3) The empirical results show that the exogenous variables such as the contagious aspects and the structural aspects have a significant explanatory power for the RMB exchange rate on the shore, indicating that the onshore exchange rate can respond to the global dynamic information in time to make adjustments. (4) GARCH and ARCH effects show that exchange rate fluctuations and bond spreads generally have significant volatility clustering, indicating that China's offshore exchange rate and China-U.S. bond spreads are affected by past information. Specifically, in terms of volatility transmission, exchange rate spreads has an influence on the increase of bond spread fluctuations, indicating that exchange rate dynamics will also cause fluctuations in bond spreads due to market information transmission.