An Empirical Study On The Co-movements Relation Between Onshore And Offshore Rmb Bond Markets

With the steady progress of RMB internationalization and opening up,in recent years,the development of the offshore RMB bond market has achieved remarkable results.At the same time,the onshore RMB bond market has also entered a stage of rapid growth,and the domestic and foreign RMB bond markets have become increasingly connected.On July 3,2017,the Central Bank and the Hong Kong Monetary Authority of China announced that the implementation of the “Northbound Connect” of Bond Connect was implemented.The implementation of “Bond Connect” is conducive to the expansion of capital opening up in the Mainland and the internationalization of RMB,and the realization the integrated development of domestic and foreign bond markets,has stimulated the interest of domestic and foreign scholars to study the linkage relationship between domestic and foreign bond markets.In the context of China's capital market opening to the outside world,the issue of linkage between domestic and foreign markets is becoming increasingly important.The offshore RMB bond market in China has not been developed for a long time.It started construction in 2003 and the first offshore RMB bond market(Hong Kong offshore RMB bond market)was established in 2007.Until now,the offshore RMB bond market has been growing.In the short period of more than ten years,some countries have achieved certain results,but behind the rapid development,many problems have been exposed,such as the RMB return mechanism,the pricing method of RMB bonds in offshore markets,and Incomplete infrastructure,and low secondary market activity.What kind of impact the offshore market has on the onshore market,what kind of feedback the onshore market will form to the offshore market,and how the two markets interact are issues worth exploring.This article first summarizes the domestic and foreign scholars' research on the domestic and overseas bond markets,and then briefly reviews the development history of the domestic and overseas RMB bond markets,and from the issue quota,the issuer,the coupon rate,credit rating,liquidity,and income,The six perspectives compare the actual situation of the onshore market and the offshore market,and thenpoint out the outstanding problems of the current offshore market.Secondly,the effective market hypothesis and portfolio theory were used to explain the theory of interaction between financial markets,and the mechanism of interaction between onshore and offshore markets was analyzed from three perspectives: economic fundamentals,market contagion,and RMB internationalization.Then,this paper uses R software to conduct empirical research from three aspects.First,use Granger causality test and co-integration test to verify the information-guided relationship and long-term relationship between onshore and offshore markets;second,use the BEKK model to analyze volatility spillover effects;and third,use DCC-GARCH model obtains correlation coefficient's fluctuations during the period covered by the sample.The research conclusions in this paper show that: the mean spillover effect is transmitted from the onshore market to the offshore market individually;the volatility spillover effect is transmitted in both directions between the onshore market and the offshore market;The fluctuation during the sample period is frequent,and the linkage is low.Finally,Explanation of conclusions drawn in the article,and the following policy recommendations are targeted: First,use the status of offshore market financial centers to accelerate the opening of the onshore market;second,encourage domestic institutions to go to Hong Kong for development Debt,forming a benign interaction between domestic and overseas RMB bonds;third,to make up for the lack of liquidity in the offshore RMB bond market,and establish and improve RMB bond pricing standards;fourth,to grasp the good opportunity to accelerate opening to the outside world and increase the international status.