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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 Downloads
Eric Wong, Tom Fong, Ka Fai Li and Henry Choi
1008: Are House Prices Rising Too Fast in China? Downloads
Ashvin Ahuja, Lillian Cheung, Gaofeng Han, Nathan Porter and Wenlang Zhang
1007: Analysing External Demand for the Hong Kong-Dollar Currency Downloads
Frank LEUNG, Philip Ng and Simon Chan
1006: What Drives China's Food-Price Inflation and How does It Affect the Aggregate Inflation? Downloads
Wenlang Zhang and Daniel Law
1005: An Analytical Framework for the Hong Kong Dollar Exchange Rate Dynamics under Strong Capital Inflows Downloads
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 Downloads
Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo
1003: Analysing Interconnectivity among Economies Downloads
Alfred Wong and Tom Fong
1002: Offshore Markets for the Domestic Currency: Monetary and Financial Stability Issues Downloads
Dong He and Robert Neil McCauley
1001: Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil Downloads
Matthew S. Yiu, Wai-Yip Alex Ho and Lu Jin
920: A Structural Investigation into the Price and Wage Dynamics in Hong Kong Downloads
Michael Cheng and Wai-Yip Alex Ho
919: Measuring the Interdependence of Banks in Hong Kong Downloads
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 Downloads
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 Downloads
Laurence Fung and Ip-wing Yu
916: A Framework for Monitoring Capital Flows in Hong Kong Downloads
Dong He, Frank LEUNG and Philip Ng
915: Deteriorating Public Finances and Rising Government Debt: Implications for Monetary Policy Downloads
Lillian Cheung, Chi-Sang Tam and Jessica Szeto
914: Financial Services Sector as a Driver of Productivity Growth in Hong Kong Downloads
Frank LEUNG, Gaofeng Han and Kevin Chow
913: Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009 Downloads
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 Downloads
Zhiwei Zhang, Wenlang Zhang and Gaofeng Han
911: Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009 Downloads
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 Downloads
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 Downloads
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 Downloads
Matthew S. Yiu, Alex Ho and Lu Jin
907: Measures of Trend Inflation in Hong Kong Downloads
Frank LEUNG, Kevin Chow and Simon Chan
906: A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks Downloads
Eric Wong and Cho-Hoi Hui
905: How Large Will Be the Effect of China's Fiscal-Stimulus Package on Output and Employment? Downloads
Dong He, Zhiwei Zhang and Wenlang Zhang
904: Role of Credit in Equity Market Booms and Busts Downloads
Lillian Cheung and Chi-Sang Tam
903: Impact of Financial Liberalisation on Stock Market Liquidity: Experience of China Downloads
Jess Lee and Alfred Wong
902: The Credibility of the Link from the Perspective of Modern Financial Theory Downloads
Hans Genberg and Cho-hoi Hui
901: Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes Downloads
Lillie Lam, Laurence Fung and Ip-wing Yu
819: Can Demand from China Shield East Asian Economies from Global Slowdown? Downloads
Zhiwei Zhang
818: Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region Downloads
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 Downloads
N'Diaye, Papa, Ping Zhang and Wenlang Zhang
815: Long-term and Short-term Determinants of Property Prices in Hong Kong Downloads
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? Downloads
Dong He and Wenlang Zhang
813: Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models Downloads
Tom Pak-wing Fong and Chun-shan Wong
812: Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence Downloads
Laurence Fung, Chi-sang Tam and Ip-wing Yu
811: Impact of IPO Activities on the Hong Kong Dollar Interbank Market Downloads
Frank LEUNG and Philip Ng
810: What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity? Downloads
Cho-Hoi Hui and Lillie Lam
809: A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach Downloads
Cho-Hoi Hui and Chi-Fai Lo
808: Comparing Forecast Performance of Exchange Rate Models Downloads
Lillie Lam, Laurence Fung and Ip-wing Yu
807: The Foreign Exchange Exposure of Chinese Banks Downloads
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 Downloads
Dong He and Laurent L. Pauwels
805: Do External Political Pressures Affect the Renminbi Exchange Rate? Downloads
Li-gang Liu, Laurent L. Pauwels and Jun-yu Chan
804: Service Exports: The Next Engine of Growth For Hong Kong? Downloads
Frank LEUNG, Kevin Chow, Jessica Szeto and Dickson Tam
803: Market Expectation of Appreciation of the Renminbi Downloads
Cho-Hoi Hui, Chi-Fai Lo and Tsz-Kin Chung
802: Exchange Rate Pass-Through to Domestic Inflation in Hong Kong Downloads
Li-gang Liu and Andrew Tsang
801: Predicting Stock Market Returns by Combining Forecasts Downloads
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 Downloads
Jim Wong, Eric Wong and Phyllis Leung
721: Is the Hong Kong Dollar Real Exchange Rate Misaligned? Downloads
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 Downloads
Li-gang Liu, Laurent L. Pauwels and Andrew Tsang
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