臺灣博碩士論文加值系統

本文探討中美貿易戰的爆發對於人民幣境外(CNH)與境內(CNY)市場的影響，由於這兩個市場的具有不同的交易限制，導致兩個市場存在匯率差價，因此本論文的研究目的為檢驗中美貿易戰對於人民幣境內境外價差是否存在著影響，針對中美貿易戰過程中重要的四個時間點進行研究，包括美國發動301調查、中美貿易談判日期、第一階段清單課稅以及第二階段清單課稅。本論文以GARCH模型為基本的實證研究模型，以人民幣境內外差價為北解釋變數，分析貿易戰與市場的因素對於境內外人民幣價差之條件預期值與條件變異數的影響。研究結果發現，本文所檢視的中美貿易戰時程中，除了中美貿易談判日期前後，人民幣境內外價差沒有著顯著的變化，在美國發動301調查、與公布課稅商品清單的兩個階段時，人民幣境內外差價之條件預期值有發生變化，不過在這些事件發生時，價差的條件變異數並無顯著的變化。

This thesis investigates the impact of the outbreak of the China-US trade war on RMB offshore (CNH) and onshore (CNY) markets. The different trading restrictions on these two markets lead to a difference in CNH and CNY exchange rates. The purpose of this study is to observe whether the Sino-US trade war has an impact on the spread between CNY and CNH. We choose four important timings of the China-US trade war to conduct our research, including the timing of the USTR initiating an investigation (section 301) , the China-US trade war negotiation date, the timing of revising its initial tariff list 1, and the timing of revising its initial tariff list 2. We use the GARCH model as the benchmark to study the conditional expected value and conditional variance of the spread between CNY/USD and CNH/USD exchange rates. We also consider other fundamental factors that influence the spread between CNY and CNH. The results show that, except for before and after the date of China-US trade negotiations, other three related events affects the expected value of the CNH-CNY spread. However, all of these four events we study have no impact on the conditional variance of the CNH-CNY spread.

第一章 緒論 1
第二章 文獻回顧 3
第一節 總體經濟與貿易對匯率的影響 3
第二節 人民幣市場 3
第三節 GARCH模型 4
第三章 研究背景 6
第一節 境內境外人民幣市場 6
第二節 中美貿易戰 7
第四章 資料 10
第一節 總體經濟基本面 10
第二節 全球金融市場 11
第三節 中美貿易戰時程 11
第五章 研究方法 14
第六章 實證分析 15
第一節 CNH-CNY差價走勢 15
第二節 GARCH模型估計結果 15
第七章 結論 18
參考文獻 20


圖一 美國對於中國的貿易逆差 22
圖二 CNH-CNY差價走勢圖 23
表一 CNH與CNY市場差別 24
表二 Benchmark GARCH 模型 25
表三 市場流動性與股價對於人民幣境內外價差影響 26
表四 總體經濟變數對於人民幣境內外價差影響 27
表五 中美貿易戰變數對於人民幣境內外價差影響 28
表六 美國發動301調查對於人民幣境內外價差影響 29
表七 中美貿易戰雙方談判對於人民幣境內外價差影響 30
表八 第一階段清單課稅對於人民幣境內外價差影響 31
表九 第二階段清單課稅對於人民幣境內外價差影響 32
表十 中美貿易戰對於境內人民幣影響 33
表十一 中美貿易戰對於境外人民幣影響 34

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