Offshore fears and onshore risk: exchange rate pressures and bank volatility contagion in China

作     者：Jennifer Lai Paul D.McNelis 

作者机构：School of FinanceGuangdong University of Foreign StudiesGuangzhouP.R.China Gabelli School of BusinessFordham UniversityNew YorkUSA 

出 版 物：《Economic and Political Studies》 (经济与政治研究（英文版）)

年 卷 期：2020年第8卷第3期

页      面：374-393页

学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学] 

基　　金：Foundation of Southern China Institute of Fortune Management Research National Natural Science Foundation of China, NSFC, (71403061) Guangdong University of Foreign Studies, GDUFS, (18ZD01, HW2018012) 

主　　题：Chinese banking stability offshore exchange markets exchange rate pressures Chinese currency CNH market 

摘      要：This paper shows that signals from the offshore China spot market for the Chinese renminbi of the Hong Kong SAR(listed as CNH)directly affect the volatility of share prices of Chinese banks and the overall risks of Chinese banking *** is especially so amid heightened uncertainty about global trade or the People’s Republic of ***,the CNH market volatility is a leading indicator of onshore Chinese banking sector *** results suggest that further offshore exchange market movements arising out of news such as increasing trade friction with the United States will generate greater volatility in the Chinese banking *** from being a shock absorber for the Chinese financial system,the CNH market appears to be a shock transmitter of risk from offshore economic policy uncertainty to the Chinese banking system.