Determinants of the onshore and offshore Chinese government yield curves
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- 作者：H. Lö ; chel h.loechel@fs.de" class="auth_mail" title="E-mail the corresponding author ; N. Packham ; n.packham@fs.de" class="auth_mail" title="E-mail the corresponding author ; F. Walisch fabian.walisch@googlemail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：E43 ; E47 ; E63 ; G18
- 刊名：Pacific-Basin Finance Journal
- 出版年：2016
- 出版时间：February 2016
- 年：2016
- 卷：36
- 期：Complete
- 页码：77-93
- 全文大小：889 K
文摘
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We study the onshore and offshore RMB government bond yield curves.
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The impact of macroeconomic variables is determined in a VAR model.
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Market forces have a higher impact on the offshore market than on the onshore market.
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Exchange rate expectations are the main driving variable for both markets.
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Weak spillover effects between from the onshore to the offshore bond curves are observed.
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