碩士 / 大葉大學 / 管理學院碩士在職專班 / 104 / This study focuses on discussing that after the internalization of rmb and deregulation of foreign exchange, the relation between the “credit spread” (off-shore issuance yield to maturity-same day term chinese bonds yields) of off-shore rmb bonds and the “exchange rate expectation “(CNH-CNY spread , rising means the devaluation of rmb) that markets toward off-shore RMB. the off-shore rmb bonds data of this study all come from Bloomberg. while within-shore Chinese bonds yields are referred from wind database. after we delete incomplete data and bonds of floating exchange rate, the number of study samples is 1088, chinese off-shore RMB bonds which pricing is above one year from jan 1, 2011 to aug 31, 2015
Using multiple regression analysis on the above samples, we set that the “credit spread” of off-shore RMB bonds will be affected by the variants like “issuance maturity”, “with or without guarantee”, “credit rating”, “whether the bonds issuers or guarantees are China-affiliated corporations or not”, and “RMB exchange rate expectation. ”The emprical results found that under obvious 5% standard, whether the bonds issuers or guarantees are China-affiliated corporations or not, only “issuance maturity” and “exchange rate expecation” have obvious positive effect on “credit spread,” other variants are not obvious. This implies that under the condition that when markets face longer issuance maturity and expect that RMB will devalue, it asks higher yields of off-shore bonds to correspond with risk of rates and risk of exchnage rates. While the bonds whose issuers or guarantees are China-affiliated corporations and non- China-affiliated corporations, their “ issuance maturity” has no obvious effect on the “credit spread.” Last, when the issuers or guarantees of off-shore bonds are China-affiliated corporations, the effect of market “exchange rate expectation” on “credit spread” is more obvious than the bonds whose issuers or guarantees are non-China-affiliated corporations, it is about 3.3 times. This implies that bonds issued or guaranted by China-affiliated corporations; when the market expects the RMB will devalue, it asks higher yields of that bonds. One of the reasons why this phenomenon happens may be when the market expects that RMB will devalue, at the same time, the China-affiliated corporations which issue or guarantee bonds will be impacted, too. Furthermore, it will affect the risk of issuing or guaranteeing bonds, making the market asks higher yields.
Key words: RMB, exchange rate expectation, credit spread, off-shore RMB bonds
| Identifer | oai:union.ndltd.org:TW/104DYU01121085 |
| Date | January 2016 |
| Creators | LIU,HUI-CHUAN, 劉惠娟 |
| Contributors | LAI,YI-HAO, 賴奕豪 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 40 |
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