| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 107 === 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.
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