Index. Brazil, 14n11, 52, 144, 202, 211n2 Bretton Wood s policy, 50 British Bankers Association (BBA), 26, 29, 35 6 B-share, 181

Transcription

1 Index 1998 FX Definitions, 157, 160 1, 162, 164 ADF test, 33 Africa, 144 Argentina, 117 ASEAN, 71, 139, 192 A-share, 56 7, 67n3, 138 Asian Currency Unit, 71 Asian Development Bank (ADB), 113 Asian financial crisis, 120 Asian offshore market, 15, 21, 71 Asian Pacific region, 5, 8 Asian USD Bond Index, 71 Asian USD bond market, 70 1 asset pricing model, 54 Association Cambiste Internationale (ACI), 30 Association of Banks in Singapore (ABS), 26, 36n7 AUD LIBOR, 29 Australia, 5, 6, 14n11, 36n6, 94, 203 Bank for International Settlements, 4, 8, 14n10, 35, 36n6, 49, 141, 189, 199, 204, 212n9 Bank Negara Malaysia (BNM), 142, 143, 144 Bank of China, 90, 112, 115, 230 Bank of China (HK), 89, 92, 110, 153n25 Bank of England, 50, 80 Bank of Thailand, 94, 144 Banking Regulations Act 1949, 70 Baosteel, 114 base rate, 138 basis risk, 81, 159 Bayesian framework, 61 Bayesian Monte Carlo Markov Chain (MCMC) method, 62, 68n16 BBA, 26, 29, 35 6 Belarus, 117 benchmark references, 24, 27 Bilateral Cross-Currency Swap (CCS) Agreement, 146 bilateral swap agreements, 71 BIS, 4, 8, 14n10, 35, 36n6, 49, 141, 189, 199, 204, 212n9 Brazil, 14n11, 52, 144, 202, 211n2 Bretton Wood s policy, 50 British Bankers Association (BBA), 26, 29, 35 6 B-share, 181 callable step up bond, 80 1 Cambodia, 145 Canara Bank, 75, 76, 78, 80, 82, 83 capital account, 4, 52, 53, 54, 66, 86, 90, 94, 95, 98, 99, 109, 114, 117, 118, 120, 121 2, 123, 124, 126n5, 137, 138, 139, 146, 147, 148, 152n8, 202, 211, 218 capital adequacy ratio, 17, 21 capital charges, 15, 19, 21, 74 5, 81, 82, 83, 84 capital control, 28, 49, 50, capital ratios, 17, 84 capital-account transactions, 4, 99, 118, 120, 121, 122 cash-deficit institutions, 28 cash-surplus institutions, 28 Caterpillar, 90, 113, 216 Cayman Islands, 5, 6, 9, 102 central bank swaps, 41, 42 central government, 17, 19, 84, 103 Central Moneymakers Unit (CMU), 143 CEPA, see Closer Economic Partnership Agreement (CEPA) Chile, 14n11, 144 China Banking Regulatory Commission, 105 China Customs Online System, 137 China Development Bank, 90, 107, 115, 143, 173 China Foreign Exchange Trade System, 109 China National Automatic Payment System (CNAPS), 147 China Securities Regulatory Commission (CSRC), 94, 104, 115, 175, 181 China s Ministry of Finance, 115, 143 Chinese Gold & Silver Exchange Society, 183 CITIC Bank International Ltd (CITIC), 113 clearing bank, 42, 44, 51, 67n7, 90, 92, 109, 110, 111, 115, 116, 175,

2 236 Index Clearing Corporation of India, 18 Closer Economic Partnership Agreement (CEPA), 12 Closer Economic Partnership Arrangement, 101, 230 CME, 47 8, 49, 110 CNH, 3, 42 7, 55, 57, 58, 65 6, 67n7, 70 84, 88, 90, 91, 92, 93 5, 96n1, 109, 129n44, 137, 152n9, , 176, 185, 187, 226, 230 CNH bond, 70, 71, 78, 82, 83 4, 91, 93 CNH market, 3, 42, 47, 71, 88, 89, 93, 94, 95, 137, 152n9, 160, 163 CNH rates, 45, 55, 57, 58, 65 6, 67n7 CNHFIX, 163 CNOOC, 100 CNT, 42, , 233, 234 CNY CHIBOR, 29, 36n5 CNY rates, 42, 55, 58, 65 6 co-integration, 33 collateral, 28, 52, 105, 107, 110, 119, 158, 164n2 commercial field products, 27 Committee on Capital Account Convertibility, 70 Continuous Linked System (CLS), 143, 146, 154n46 contributor banks, 25 6, 29, 33, 34, 35 6, 36n7 convertibility, 42, 50, 52, 53, 117, 120, 124, 126n5, 128n19, 135n101, 139, 146, 147, 151, 160, 222 corporate bonds, 15, 16, 18 19, 21, 27, 80, 113, 121, 209 corporate borrowers, 16, 18, 24, 29 country risks, 3, 7, 14n9, 199 credit limits, 28, 111 credit ratings, 15, 16 17, 28, 35, 36, 74, 80, 84 credit risk, 15 22, 36, 70, 75, 81, 83, 159 Cross-Border Payments Management Information System (RCPMIS), 137 debt instruments, 22, 24, 27, 70, 71, 73, 74, 89, 210 default probability, 16, deliverable renminbi market, 89 Derivagem software, 81 Deutsche Mark, 49, 202 dim sum bond, 90, 112, 113, 136, 140, 145, 167, 169, 173, 174, 178, 182, 183, 216 diversification, 7, 8, 145, 199, 230 document reviewing process, 117 Dodd-Frank Act, 50 Dual Tranche Dual Counter (DTDC), 179 Dubai, 95 economic integration, 4, 8, 10 efficient market hypothesis (EMH), 33 eligible yuan trade transactions, 116 entrusted loan arrangements, 108 equity financing, 27 equity investment, 106, 108, 109, 233 equity market turnover, 11 equity private placements, 108 escrow account, 106 EUR, 25, 145, 161, 197 EUR LIBOR, 29 EURIBOR, 29, 36n5 Euro, 221, 222, 223 Eurobonds, 15 22, 75, 80, 113 Euroclear Bank, 143 Eurodollar, 3 14, 29, 48 51, Eurodollar deposits, 3 14, 29, 51, 206 Europe, 5, 8, 142, 143, 220 1, 222, 224 European Central Bank (ECB), 50, 143 European sovereign debt crisis, 57, 58, 215 Eurozone, 143, 149, 150, 192 exchange rate reform, 121 exchange traded futures, 41 EXIM, 136, 141, 148, 151n2, 191, 195, 198n3 Export and Import Bank of China, 107 Financial Action Task Force, 117 financial innovation, 50 1, 52 3 first-mover advantage, 3, 169, 188, 196 Fixed Income Money Market Dealers Association, 79 Fixed rate bonds, 28 floating rate loans, 26 floating-rate bond, 26, 27 floating-rate notes (FRN), 27 foreign currency bond, 70, 71 3, 74, 75 8, 79 foreign direct investment (FDI), 93, 94, 98 9, 100, 101 2, 105, 106, 107, 108, 109, 122, 123, 128n18, 131n70, 141, 168, 173, 174, 176, 177, 216, 224, 227, 230, 233 foreign exchange controls, 50, 101, 107, 115, 118, 121, 124 foreign exchange market turnover, 8, 10, 11, 12

3 Index 237 forward market, 45 8, 51, 57, 58, 63, 64, 68, 187 funding cost, Galaxy Entertainment, 91, 114 GBP, 25, 145, 161, 192, 197 GDP, 120, 123, 125, 145, 154n48, 166, 177, 179, 191, 222, 228 Glass-Steagall Act, 50 global financial crisis, 5, 86, 88, 126, 166, 168, 204, 205, 211, 215 global monetary system, 118 go globally policy, 100, 127n14, 128n21 Granger causality test, 55, 65 Haitong Asset Management, 91 Hang Seng China AH(A) Index (A-shares), 56, 67n3 Hang Seng China AH(H) Index (H-shares), 56, 67n3 Herstatt risk, 142, 154n37 HIBOR, 25, 26, 27, 28, 29, 30 3, 35 H-L, 31, 32 Hong Kong, 3 4, 6, 10 12, 13n1, 13 14n3, 14nn11,13, 24, 25, 26, 28, 32, 33, 34, 35, 36, 36n6, 41 2, 43, 44 5, 47, 51 3, 54, 55, 61, 66, 66n1, 66n2, 66n7, 71, 75, 79, 86, 87, 88 90, 92, 93 4, 95, 96n1, 99, 101, 102, 103, , , 115, 116, 117, 124, 136, 137, 138, 140 3, 146, 150, 151, 157, 158 9, 161, , 192, 194, 196, , , 219, 224, , 234 Hong Kong and Macau Affairs Office, 101 Hong Kong and Mainland investors, 55 Hong Kong Association of Banks (HKAB), 26 Hong Kong Interbank Market, 109 Hong Kong Monetary Authority (HKMA), 13, 26, 42, 52, 66, 88, 89, 92, , 115, 116, 117, 141, 142, 143, 148, 163, 172, 174, 188, 194 Hong Kong Stock Exchange, 47, 67, 180, 182, 183, 184, 185 Hopewell, 90, 113, 216 H-S, 31, 32 H-share, 54, 55, 56 7, 58, 63, 65, 67nn3,4,8, 68n18, 138, 180 hybrid products, 27 Iceland, 117, 134n99 ICICI Bank, 15, 17 18, 19, 20, 21, 75, 76 IDBI Bank, 75, 76, 78, 82, 83, 84 IMF, 8, 41, 86, 99, 124, 128nn18,19, 145, 146, 154n47, 155n62, 166, 188, 189, 222, 223 Income Partners, 91 India, 14n11, 15 22, Indian Rupee (INR), 20, 36n5, 72, 79, 83, 84 Indonesia, 117 information asymmetry, 33, 63, 64, 66, 122 INR, 20, 36n5, 72, 79, 83, 84 INR benchmark rates, 20, 72, 79, 84 institutional separation, 54 institutional theory, 122 interbank interest rate, 25, 27, 30, 112, 131n68 interbank money market, 25, 27, 29, 33, 36n7 interbank wholesale markets, 26, 28 interest rate fixings, interest rate quotes, 33 interest rate references, 24, 25, 27, 72 interest rate risks, 24 interest rate swaps (IRS), 25, 26, 27, 28, 29, 80, 112, 157, 158 international currencies, 53, 57, 95, 166, 167, 169, 178, 221 International Monetary Fund, 8, 41, 86, 99, 124, 128nn18,19, 145, 146, 154n47, 155n62, 166, 188, 189, 222, 223 international trade, 4, 25, 86, 87, 136, 149, 191, 192, 215, 218 internationalization, 4, 45, 51, 52, 71, 87, 88, 110, 111, 117, 118, 121, 124, 137, , 144, 147, 153n28, 166, , 174, 176, 177, 178, 179, 181, 196, , 216, 217, 218, 219, 223, 227, 229, 234 investments inflows, 7 ISDA, 157 8, 159, 161, 164, 164nn1,2,3 ISDACN, 164 Japan, 6, 14n11, 36n6, 52, 98, 117, 130, 132n76, 136, , 144, 145, 146, 154n48, 197, 220, 222 Japanese Yen, 25, 35, 36n5, 96, 145, 155n62, 197, 220 JPY, 25, 35, 36n5, 96, 145, 155n62, 197, 220 JPY TIBOR, 29, 36n5

4 238 Index Latin America, 52, 127n15, 144, 146 lead-lag tests, 33 legal system, 8, 9, 11, 172 Lehman, 56, 57, 67n6, 192 lending rate, 25, 29, 36n2, 52, 138, 147, 194 Lenovo, 100, 127n16 LIBOR instruments, 26 liquidity, 3, 10, 17, 33 4, 35, 36, 41, 47, 52 3, 60, 75, 78, 84, 107, 119, 130n62, 140, 141, 142, 145, 146 7, 148, 159, 167, 173, 174, 176, 178, 187, 188, 217 loan market, 28, 92, 206 London, 9, 11, 14n13, 24, 25 6, 28, 33, 34 6, 36n6, 41, 49, 50, 51, 95, 114, 117, 124, 136, 142, 169, 185, 202, 203, 205, 217, 234 London Bullion Market Association (LBMA), 185 London Gold Fixing Price, 185, 186 London Interbank Bank Offered rate (LIBOR), 24, 25 6, 27 8, 29 31, 33, 34 5, 80, 81, 84 London Interbank Bid Rate (LIBID), 29 Macau, 71, 87, 91, 101, 114, 115, 139, 171, 175, 192 Mainland Designated Enterprises (MDEs), 92, 139, 192 Malaysia, 117, 136, managed float, 137 Management Measures for Overseas Investment (the Measures), 101, 128n22 market risk capital, 15, 70, 81 market-based floating exchange rate system, 98 McDonalds, 90, 113, 216 Merton s (1974) model, 59 microfinance, 18 Midland Bank, 50, 51 Ministry of Commerce (MOFCOM), 101, 103 4, 106, 108, 109, 128n22, 132n73, 188, 216 money market, 24, 25, 27, 29, 30, 33, 34, 36, 180, 182, 183, 187, 205, 207, 233 Mongolia, 145 Myanmar, 145 NAFMII, 158, 159, 164n3 Nanjing Auto, 100 National Bank of Pakistan, 94 National Development and Reform Commission (NDRC), 103, 104, 106, 114 National Stock Exchange, 18, 79 NDF, 42, 43, 45, 47, 89 netting, 158, 159 New York, 7, 8, 9, 10, 28, 51, 117, 158, 202 Nigeria, 128n18, 136, 144 non-binding quotes, 30 non-performing assets, 17, 84 North America, 8, 220 North Korea, 145 offshore currency centres, 24, 35, 36, 217 offshore deposits, 5, 6, 8, 9, 207 offshore financial centres, 3 14 offshore holding company, 102, 103 offshore investors, 54, 61, 63, 66, 66n1, 179 offshore market, 15, 20, 21, 24, 28 9, 33, 47, 49, 54, 55, 56 8, 64 6, 71, 109, 110, 114, 137, 138, 139, 140, 141, 143, 146, 147, 148, 159, 169, 177, 192, 195, 196, 197, 199, 201, 202, 203, 210, 211, 217, 221, 229, 230 offshore Renminbi, 11, 52, 54, 67n7, 107, 108, 109, 110, 112, 114, 116, 136, 137, 138, 140 3, 145, 146 8, 150, 151, 154n46, 193, 199, 201, 209, 210, 211, 212n10, offshore RMB interbank market, 111 offshore yuan market, onshore investors, 61, 66n1 onshore market, 4, 8, 28 9, 47, 55, 65, 66, 66n1, 87, 137, 138 9, 146, 147 OTC derivative, 157, 159, 160, 164n2 Overseas Direct Investment (ODI), 100, 168, 174, 176, 177, 216 overseas special purpose vehicle (SPV), over-the-counter (OTC) market segment, 28, 36n4 Panda bonds, 113 panel members, 35 6 parameter uncertainty, 54, 55, 61 4, 66, 67n14, 68n17 PBOC, 13n2, 42, 67n13, 86, 88 9, 92 3, 99, 107 8, , 114, 116, 126n4, 136, 137 8, 139, 141, 146, 158, 170, 172, 173, 174, 175, 188, 192, 193, 216, 226, 229, 233

5 Index 239 People s Bank of China (PBOC), 13n2, 42, 67n13, 86, 88 9, 92 3, 99, 107 8, , 114, 116, 126n4, 136, 137 8, 139, 141, 146, 158, 170, 172, 173, 174, 175, 188, 192, 193, 216, 226, 229, 233 portfolio investment, 7, 8, 9, 11, 12, 13, 52, 98, 99, 109, 181 pound sterling, 75, 155n62, 222 price disparities, private equity funds, 102 probability of repayment, 18 Pudong, 108 Qualified Foreign Institutional Investor, 66n1, 94, 109, 127n10, 168, 178, 179, 181 RAROC, 16, 20 1 Real-time Electronic Transfer of Funds and Settlement System (RENTAS), Red Chips, 180 reference fixing, 27 Regulation Q, 50, 205 Regulations on Mergers and Acquisitions of Domestic Enterprises by Foreign Investors (the M&A Rules ), 103, 104 regulatory credit risk, regulatory framework, 8, 10, 11, 95 regulatory quality, 4, 7, 9, 12, 13, 133n87 REIT, 92, 178, 182 Renminbi Base Deposit Rate, 138 Renminbi Base Lending Rate, 138 renminbi forward market, 58, 63, 64 renminbi sovereign bonds, 143, 144 renminbi spot market, 55, 59, 65, 66, 67n7 renminbi trading hub, 116 reporting requirements, 118, 124 re-pricing date, 27 Reserve Bank of India (RBI), 15, 16 17, 70, 71, 72, 82, 83 reserve currency, 87, 95 6, , 160, 166, 168 return on assets, 17 risk exposure, 81 risk premium, 18, 19 RMB assets, 93, 169, 175, 178, 183, 185, 217, 230 RMB centre, 3 4, 159, 167, 169 RMB deposits, 3, 41, 43, 47, 111, 167, 168, 170, 174, 175, 176, 177, 182, , 230 RMB derivative, 157, 158, 159, 160 1, 163 RMB financing, 167, 172, 173 4, 175, 177, 216 RMB fixed-income fund, 91 RMB Gold Exchange Traded Funds (RMB Gold ETF), 183 RMB Gold Futures, 183 RMB Kilobar Gold, 183 RQFII scheme, 51, 93, 94, 167, 168, 169, 175, 177, 178, 179, 182, 217 Rule of Law, 12, 122, 133, 134 SAFE, 93, 99, 101, 103 6, 129nn28,29,31,32,34, 146, 164n4, 181, 188, 194 SBI, 15, 17 18, 19, 20, 21 2, 75, 77, 78, 84 Shanghai, 11, 52, 88, 108, 109, 114, 152n19, 153n20, 170, 172, 198nn6,7, 229 Shanghai and Shenzhen Stock Exchanges, 67n3, 181 SIBOR, 25, 26 7, 29, 30, 31, 33, 35 Singapore, 6, 11 12, 14nn11,13, 24, 25, 26 7, 28, 33, 34 6, 36nn6,7, 41, 71, 75, 96n1, 114, 116, 117, 124, 134n97, 136, 169, 226, 227, 228, 229, 234 Singapore Monetary Authority, 71 Single Tranche Single Counter (STSC), 179 S-L, 31, 32 South America, 8, 195 South Korea, 14n11, 94, 117, 191 Southeast Asia, 87, 139, 143, 144 sovereign risks, 160 Special Depository Rights (SDR), 86 Special Drawing Rights [ SDR ], 146, 155n62, 222 standard interbank products, 27 State Administration of Foreign Exchange ( SAFE ), 93, 99, 101, 103 6, 129nn28,29,31,32,34, 146, 164n4, 181, 188, 194 State Asset Supervision and Administration Commission ( SASAC ), 103, 104 State Bank of India, 15, 17 18, 19, 20, 21 2, 75, 77, 78, 84 state-owned enterprises (SOEs), 104, 107 Statutory Reserve, 75

6 240 Index sterilization bonds, 119 Stock Exchange of Hong Kong Ltd., 111, 113 store of value, 119, 123, 140, 145, 166 7, 172 subprime crisis, 56 SWIFT, 145, 164, 191, 196 synthetic dim sums, 93 systematic risk, 159 systemic events, 17 systemic factors, The State Council, 101, 103 Thomson Reuters, 26, 30, 36n3, 189 Tier I capital, 17, 70, 71 2, 78 Tier II capital, 70, 72 3, 74, 78 Tokyo, 136 Tokyo fixing, 35 trade settlement, 3, 41, 42, 51, 52, 67n7, 71, 87 8, 92, 93, 94, 95, 108, , , 144, 145, 147 9, 151, 163, 167, 170, 171, 172 3, 175, 176, 177, 191 8, , 217, 226, 229 Trade Settlement Pilot Scheme, 3, 138, 148, 182 trading hours, 7, 8, 11 treasury bonds, 18, 19 Treasury Markets Association (TMA), 26, 35, 79, 138, 163 Triffin dilemma, 145, 155n59 trust loan, 105 two-way market, 43, 51 UK, 5, 6, 11, 12, 14n11, 35, 50 1, 80, 84, 96, 134n96, 134n99, 142, 145, 227 United Kingdom, 5, 6, 11, 12, 14n11, 35, 50 1, 80, 84, 96, 134n96, 134n99, 142, 145, 227 United Kingdom HM Treasury (HMT), 142, 154n39 unsecured deposit, 28 US, 7, 8, 10, 11, 12, 14n9, 24 37, 41, 49, 50, 51, 60, 61, 70 84, 98, 103, 120, 125nn2,3, 129n41, 132n71, 143, 145, 149, 150, 166, 192, 201, 202, 203, 204 9, 211, 212n7, 215, 220, US dollar, 4, 7, 8, 9, 14n9, 14n10, 14n12, 15, 18, 19, 20, 21, 24 37, 49, 51, 57, 67n5, 70 84, 86, 87, 89, 91, 93, 95, 98, 115, 118, 123 4, 125 6n4, 128, 138, 144, 145, 146, 150, 155n62, 160, 161, 163, 167, 176, 184, 185 6, 187, 189, 192, 193 4, 195 6, 199, 204, 206, 215, 217, 221, 223, 226 U.S. Federal Reserve, 36n1, 50, 67n12, 88, 204, 212n8 USA, 7, 8, 10, 11, 12, 14n9, 24 37, 41, 49, 50, 51, 60, 61, 70 84, 98, 103, 120, 125nn2,3, 129n41, 132n71, 143, 145, 149, 150, 166, 192, 201, 202, 203, 204 9, 211, 212n7, 215, 220, USD, 4, 7, 8, 9, 14n9, 14n10, 14n12, 15, 18, 19, 20, 21, 24 37, 49, 51, 57, 67n5, 70 84, 86, 87, 89, 91, 93, 95, 98, 115, 118, 123 4, 125 6n4, 128, 138, 144, 145, 146, 150, 155n62, 160, 161, 163, 167, 176, 184, 185 6, 187, 189, 192, 193 4, 195 6, 197, 199, 204, 206, 215, 217, 221, 223, 226 value at risk (VaR), 70, 81, 82 Vasicek model, 60 Venezuela, 144, 208 volatility, 24, 55, 59 60, 61 2, 63, 66, 80, 81, 99, 119, 124, 138, 187, 189, 229 Volkswagen, 91 VTB Bank, 114 wealth management, 51, 88, 136, 140, 166, 167, 168, 172, 174 6, 177 8, 180, 184, 188, 230 wholesale interbank market, 28 World Bank, 7, 8, 11 12, 128n18, 133n87 World Trade Organization, 57, 99, 122 Xia Bin, 147, 148 yield curve risk, 81 yield curves, 16, 17, 18 19, 75, 79, 80, 83 yield to maturity, 20 1 YTM, 79, 80 yuan deposits, 45, 88, 89, 90, 92, 94, 95 yuan-denominated REIT, 92 Zhejiang Province, 108