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.

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