La crédibilité du currency boardde Hong Kong

Bronka Rzepkowski

Revue économique, 2001, vol. 52, issue 2, 285-301

Abstract: This paper uses over-the-counter currency options on the Hong Kong dollar to estimate the expected probability and intensity of a Hong Kong dollar devaluation over a one-month horizon, from February 1997 to the end of 1998. Addressing the issue of the determinants driving these anticipations, it tests both for contagion effects arising from the Asian crisis and the efficiency of the monetary authorities? responses to speculative attacks. The external effect captured by the dollar/yen and its implied volatility, the spillover effect via portfolio reallocations and the pure psychological contagion effect picked up by Asian devaluation announcements appear significant. Classification JEL : E42, E58, F41

JEL-codes: E42 E58 F41 (search for similar items in EconPapers)
Date: 2001
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