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The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data

Mardi Dungey, Charles Goodhart and Demosthenes Tambakis ()
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Charles Goodhart: Financial Markets Group, London School of Economics, UK, Postal: Financial Markets Group, London School of Economics, UK

International Journal of Finance & Economics, 2008, vol. 13, issue 1, 40-52

Abstract: The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in Hong Kong equity markets to prevent a speculative double play against their currency board. On 17 August, Russia announced its default on sovereign bonds. This paper demonstrates that the HKMA interventions had a substantial impact on the outcomes for US Treasury markets during this period using a careful analysis of high-frequency bond market data. On this evidence the shocks emanating from Hong Kong provided liquidity to the US Treasury market when it was most needed. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2008
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Working Paper: THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA (2005) Downloads
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