Working Papers

from Hong Kong Monetary Authority
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1101: Loan-to-Value Ratio as a Macro-Prudential Tool - Hong Kong's Experience and Cross-Country Evidence

Eric Wong, Ka-fai Li and Henry Choi

1008: Are House Prices Rising Too Fast in China?

Ashvin Ahuja, Lillian Cheung, Gaofeng Han, Nathan Porter and Wenlang Zhang

1007: Analysing External Demand for the Hong Kong-Dollar Currency

Frank Leung, Philip Ng and Simon Chan

1006: What Drives China's Food-Price Inflation and How does It Affect the Aggregate Inflation?

Wenlang Zhang and Daniel Law

1005: An Analytical Framework for the Hong Kong Dollar Exchange Rate Dynamics under Strong Capital Inflows

Matthew S. Yiu, Wai-Yip Alex Ho, Yue Ma and Shu-Ki Tsang

1004: Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities

Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo

1003: Analysing Interconnectivity among Economies

Alfred Wong and Tom Fong

1002: Offshore Markets for the Domestic Currency: Monetary and Financial Stability Issues

Dong He and Robert Neil McCauley

1001: Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil

Matthew S. Yiu, Wai-Yip Alex Ho and Lu Jin

920: A Structural Investigation into the Price and Wage Dynamics in Hong Kong

Michael Cheng and Wai-Yip Alex Ho

919: Measuring the Interdependence of Banks in Hong Kong

Tom Fong, Laurence Fung, Lillie Lam and Ip-wing Yu

918: The Road to Recovery: Fiscal Stimulus, Financial Sector Rehabilitation, and Exit from Policy Easing

Zhiwei Zhang and Wenlang Zhang

917: Dislocations in FX Swap and Money Markets in Hong Kong and Policy Actions during the Financial Crisis of 2008

Laurence Fung and Ip-wing Yu

916: A Framework for Monitoring Capital Flows in Hong Kong

Dong He, Frank Leung and Philip Ng

915: Deteriorating Public Finances and Rising Government Debt: Implications for Monetary Policy

Lillian Cheung, Chi-Sang Tam and Jessica Szeto

914: Financial Services Sector as a Driver of Productivity Growth in Hong Kong

Frank Leung, Gaofeng Han and Kevin Chow

913: Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009

Cho-Hoi Hui, Hans Genberg and Tsz-Kin Chung

912: How Does the US Credit Crisis Affect the Asia-Pacific Economies? --- Analysis based on a General Equilibrium Model

Zhiwei Zhang, Wenlang Zhang and Gaofeng Han

911: Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009

Cho-Hoi Hui, Hans Genberg and Tsz-Kin Chung

910: Hong Kong's Financial Market Interactions with the US and Mainland China in Crisis and Tranquil Times

Dong He, Zhiwei Zhang and Honglin Wang

909: A Study on the Transmission of Money Market Tensions in EMEAP Economies During the Credit Crisis of 2007 - 2008

Laurence Fung and Ip-wing Yu

908: Econometric Approach to Early Warnings of Vulnerability in the Banking System and Currency Markets for Hong Kong and Other EMEAP Economies

Matthew S. Yiu, Alex Ho and Lu Jin

907: Measures of Trend Inflation in Hong Kong

Frank Leung, Kevin Chow and Simon Chan

906: A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks

Eric Wong and Cho-Hoi Hui

905: How Large Will Be the Effect of China's Fiscal-Stimulus Package on Output and Employment?

Dong He, Zhiwei Zhang and Wenlang Zhang

904: Role of Credit in Equity Market Booms and Busts

Lillian Cheung and Chi-Sang Tam

903: Impact of Financial Liberalisation on Stock Market Liquidity: Experience of China

Jess Lee and Alfred Wong

902: The Credibility of the Link from the Perspective of Modern Financial Theory

Hans Genberg and Cho-hoi Hui

901: Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes

Lillie Lam, Laurence Fung and Ip-wing Yu

819: Can Demand from China Shield East Asian Economies from Global Slowdown?

Zhiwei Zhang

818: Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region

Lillian Cheung, Laurence Fung and chi-sang Tam

817: Structural Reform, Intra-Regional Trade, and Medium-Term Growth Prospects of East Asia and the Pacific --- Perspectives from a new multi-region model

N'Diaye, Papa, Ping Zhang and Wenlang Zhang

815: Long-term and Short-term Determinants of Property Prices in Hong Kong

Frank Leung, Kevin Chow and Gaofeng Han

814: How Dependent is the Chinese Economy on Exports and in What Sense has its Growth been Export-led?

Dong He and Wenlang Zhang

813: Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

Tom Pak-wing Fong and Chun-shan Wong

812: Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence

Laurence Fung, Chi-sang Tam and Ip-wing Yu

811: Impact of IPO Activities on the Hong Kong Dollar Interbank Market

Frank Leung and Philip Ng

810: What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?

Cho-Hoi Hui and Lillie Lam

809: A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Cho-Hoi Hui and Chi-Fai Lo

808: Comparing Forecast Performance of Exchange Rate Models

Lillie Lam, Laurence Fung and Ip-wing Yu

807: The Foreign Exchange Exposure of Chinese Banks

Eric Wong, Jim Wong and Phyllis Leung

806: What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model

Dong He and Laurent L. Pauwels

805: Do External Political Pressures Affect the Renminbi Exchange Rate?

Li-gang Liu, Laurent L. Pauwels and Jun-yu Chan

804: Service Exports: The Next Engine of Growth For Hong Kong?

Frank Leung, Kevin Chow, Jessica Szeto and Dickson Tam

803: Market Expectation of Appreciation of the Renminbi

Cho-Hoi Hui, Chi-Fai Lo and Tsz-Kin Chung

802: Exchange Rate Pass-Through to Domestic Inflation in Hong Kong

Li-gang Liu and Andrew Tsang

801: Predicting Stock Market Returns by Combining Forecasts

Laurence Fung and Ip-wing Yu

722: A Leading Indicator Model of Banking Distress ¡V Developing an Early Warning System for Hong Kong and Other EMEAP Economies

Jim Wong, Eric Wong and Phyllis Leung

721: Is the Hong Kong Dollar Real Exchange Rate Misaligned?

Frank Leung and Philip Ng

720: How Large is the Wealth Effect on Hong Kong¡¦s Consumption? Evidence from a Habit Formation Model of Consumption

Li-gang Liu, Laurent L. Pauwels and Andrew Tsang