The Correlation Study Between Onshore And Offshore Rmb Bond Markets

The offshore RMB bond market is booming along with the rapid development of RMB internationalization.Since China Development Bank issued the first Hongkong offshore RMB bond in June 2007,the offshore RMB Bonds' issuing scale expanding rapidly.By the end of 2014,the issuing scale has reached nearly 300 billion yuan.With the deepening of RMB internationalization,the issuing market of offshore RMB Bond expands to HongKong,Singapore,London and Luxembourg,but HongKong is still the most important offshore RMB Bond issuing market.The offshore RMB bond refers to the securities which issued outside mainland China,yuan-denominated,period in one year or more than 1 year and repay capital with interest according to the agreed.The offshore RMB bond is different from the onshore RMB Bond,its main issues and investors are non-residents,less bounded by China financial market system,and the settlement currency is RMB or other currencies.The formation and development of offshore RMB bond market is an important step in the process of RMB internationalization,as well as has brought extensive and profound changes to the onshore RMB bond market.Researching the Correlation between Onshore and Offshore RMB Bond Markets,on the one hand,it's able to provide some reference to the relevant departments to formulate the corresponding regulatory policy,to ensure the healthy development of the offshore RMB bond market,also help to guard against the risk in the process of RMB internationalization.On the other hand,it can help cross-border investors have a more comprehensive understanding of cross-border investment risk,to stable the onshore and offshore RMB bond markets.Duing to the short history of the offshore RMB bond and the offshore RMB bond market,the domestic and foreign scholars mainly regard it as one aspect of the internationalization of the RMB,mainly introduces,focuses on analyzing the current situation,existing problems,policy advice and the influence of RMB internationalization.This paper on the basis of the predecessors,based on the view of yield,volatility spillover and dynamic correlation coefficient,expect to conduct a comprehensive analysis of the Correlation between onshore and offshore RMB bond markets,in order to enrich the theory research,but also provide a reference for the decision-making to the regulators and investors.The first chapter describes the background,significance,literature review,research method and contents,innovation and shortcomings of the article.The second chapter is the general situation of the offshore RMB bond market.First,introduce the definition of the offshore RMB bond market and the main offshore RMB bond market.Second,introduce the background and reasons of the offshore RMB bond markets' development.Finally,introduce the characteristics and main problems of Hongkong Offshore RMB Bond Market.The third chapter is theoretical analysis of the correlation between onshore and offshore RMB bond markets.First,introduce the definition of the correlation between Onshore and Offshore RMB Bond Markets.Second,introduce the main hypothesis of international financial markets' Correlation.Third,introduce the main flow channels of money between onshore and offshore RMB Bond Markets.Finally,introduce the macro influencing factors of the correlation,including the interest rate difference between Domestic and overseas,the exchange rate difference between domestic and overseas and the open degree of Onshore Market.The fourth chapter is the empirical analysis of the correlation between onshore and offshore RMB bond markets.First introduces the empirical model,then builds BEKK-GARCH,DCC-GARCH model,based on the view of yield,volatility spillover and dynamic correlation coefficient,expect to conduct a comprehensive analysis of the Correlation between onshore and offshore RMB bond markets.The following main conclusions:There is no long-term equilibrium relationship between onshore and offshore RMB bond markets;onshore RMB bond market has mean spillover effects on offshore RMB bond market,but those effects do not exist in the reverse direction;onshore market has volatility spillover effects on offshore market,but reverse effects do not hold;onshore-offshore markets have no significant dynamic correlation,correlation degree is low;the interest rate difference between Domestic and overseas have significant effects on DCCs,while the exchange rate difference between domestic and overseas and the open degree of Onshore Market have no significant effects on DCCs.The sixth chapter is conclusions and policy recommendations.In this chapter,first make a summary of the first four chapters,then put forward relevant policy suggestions about strengthen the correlation of the offshore and onshore RMB bond markets.Suggestions are as follows:comprehensively deepen financial refonn,perfect the onshore RMB bond market;accelerating the RMB capital account opening-up process,increasing the openness of the onshore RMB bond market;Encourage and support more domestic or foreign issuers issue RMB bonds in the offshore market;Promote the RMB back flow mechanism construction,guide capital return reasonably;improve the system of credit rating,push forward construction of market operation continuously;strengthen the financial coordination regulation.