Essays on Chinese Onshore and Offshore Capital Markets
The first chapter of the dissertation examines drivers behind the spread between China’s offshore CNH and onshore CNY exchange rates and presents empirical evidence that the offshore RMB debt rate of return is a driver and has an inverse relationship with the CNH and CNY exchange rate spread. The second chapter studies Chinese onshore and offshore money market interest rate linkage and finds empirical evidence that the Stock Connect programs integrate the two money markets. Specifically, the evidence demonstrates that the 3-month and 6-month tenor of CNH HIBOR and SHIBOR have become positively correlated since the introduction of the first “Stock Connect” program. The launch of intraday repo programs by the Hong Kong Monetary Authority (HKMA), a program to boost offshore liquidity, also contributes to the integration of offshore and onshore money market interest rates. The third chapter studies the effect of the “global factor”, VIX, on China after short term cross border capital flows are permitted in China, and finds that under the influence of cross border short term capital, VIX has increased effect on new credit creation, attributing to US dollars as a common world trade currency. Additionally, the paper analyzes various types of cross border short term capital and finds that Stock Connect northbound net capital inflows, which is mainly composed of international capital, are most sensitive to VIX shocks.
Shi, Chuan, "Essays on Chinese Onshore and Offshore Capital Markets" (2019). ETD Collection for Fordham University. AAI13879776.