 Determinants of the onshore and offshore Chinese government yield curvesH. Löchel, N. Packham and F. Walisch Pacific-Basin Finance Journal, 2016, vol. 36, issue C, 77-93 Abstract: As part of its effort to internationalize the Renminbi, China's government has promoted the establishment of a regulated offshore Renminbi capital market hub in Hong Kong, where, among other activities, it issues RMB-denominated government bonds in order to establish a benchmark yield curve in the market. In a VAR model where yield curves are represented by Nelson–Siegel latent factors and which includes basic macroeconomic variables, we find that market forces have a higher impact on the offshore market for government bond yields than on the corresponding onshore market. Exchange rate expectations turn out to be the main driving variable for both the onshore and the offshore market, with a significantly stronger impact on the latter. Weak spillover effects from the onshore government bond yield curve to the offshore yield curve are observed, but no spillover effects the other way round are present. Keywords: Chinese government bond market; Chinese offshore market; CNH; RMB (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:36:y:2016:i:c:p:77-93 DOI: 10.1016/j.pacfin.2015.11.001 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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