Working Papers

From Hong Kong Monetary Authority
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719: Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar

Laurence Fung and Ip-wing Yu

718: A New Keynesian Model for Analysing Monetary Policy in Mainland China

Li-gang Liu and Wenlang Zhang

717: How Do Macroeconomic Developments in Mainland China Affect Hong Kong's Short-term Interest Rates?

Dong He, Frank Leung and Philip Ng

716: Hong Kong's Consumption Function Revisited

Li-gang Liu, Laurent Pauwels and Andrew Tsang

715: Monetary and Financial Cooperation among Central Banks in East Asia and the Pacific

Hans Genberg and Dong He

714: Hong Kong as An International Financial Centre: Measuring its Position and Determinants

Lillian Cheung and Vincent Yeung

713: Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?

Cho-Hoi Hui and Tom Fong

712: Ratings Versus Market-Based Measures of Default Risk of East Asian Banks

Eric Wong, Cho-Hoi Hui and Chi-fai Lo

711: Share Price Disparity in Chinese Stock Markets

Tom Fong, Alfred Wong and Ivy Yong

710: Assessing Bond Market Integration in Asia

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

709: Modelling Sovereign Bond Yield Curves of the US, Japan and Germany

Chi-sang Tam and Ip-wing Yu

708: Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar

Cho-hoi Hui, Vincent Yeung, Laurence Fung and Chi-Fai Lo

707: A Real Activity Index for Mainland China

Li-gang Liu, Wenlang Zhang and Jimmy Shek

706: Determinants of the Performance of Banks in Hong Kong

Jim Wong, Tom Fong, Eric Wong and Ka-fai Choi

705: Measuring Market Sentiment in Hong Kong's Stock Market

Ip-wing Yu and Chi-sang Tam

704: Assessing Financial Market Integration In Asia - Equity Markets

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

703: Sense and Nonsense on Asia's Export Dependency and The Decoupling Thesis

Dong He, Lillian Cheung and Jian Chang

702: A VAR Framework for Forecasting Hong Kong'S Output and Inflation

Hans Genberg and Jian Chang

701: Testing for Collusion in the Hong Kong Banking Sector

Jim Wong, Eric Wong, Tom Fong and Ka-fai Choi

619: How Efficient Has Been China's Investment? Empirical Evidence from National and Provincial Data

Dong He, Wenlang Zhang and Jimmy Shek

618: Hong Kong's Trade Patterns and Trade Elasticities

Li-gang Liu, Kelvin Fan and Jimmy Shek

617: Determinants of Foreign Direct Investment in East Asia: Did China Crowd Out FDI from Her Developing East Asian Neighbours

Li-gang Liu, Kevin Chow and Unias Li

616: Competition in Hong Kong's Banking Sector: A Panzar-Rosse Assessment

Jim Wong, Eric Wong, Tom Fong and Ka-fai Choi

615: A Framework for Stress Testing Bank's Credit Risk

Jim Wong, Ka-fai Choi and Tom Fong

614: Structural Determinants of Hong Kong's Current Account Surplus

Frank Leung

613: Outward Portfolio Investment From Mainland China: How Much Do We Expect And How Large a Share Can Hong Kong Expect to Capture?

Lillian Cheung, Kevin Chow, Jian Chang and Unias Li

612: The Cost Efficiency of Commercial Banks in Hong Kong

Jim Wong, Tom Fong, Eric Wong and Ka-fai Choi

611: Hong Kong's Economic Integration and Business Cycle Synchronisation with Mainland China and the US

Hans Genberg, Li-gang Liu and Xiangrong Jin

608: An Approach to Measuring Provisions for Collateralised Lending

Cho-hoi Hui and Tom Fong

607: Cross-Border Fund Flows and Hong Kong Banks' External Transactions vis-a-vis Mainland China

Joanna Shi and Andrew Tsang

606: Assessing the Risk of Multiple Defaults in the Banking System

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

605: Currency Barrier Option Pricing with Mean Reversion

Cho-hoi Hui

603: Forecasting the Non-Rental Component of Hong Kong's CCPI Inflation - an Indicator Approach

Li-gang Liu, Jian Chang and Andrew Tsang

602: Estimating Demand for Narrow Money and Broad Money

Daryl Ho, Jimmy Shek and Andrew Tsang

601: Measuring Provisions for Collateralised Retail Lending

Cho-hoi Hui

526: The Composite Interest Rate of Hong Kong ¡V A New Data Series

Market Research Division

524: A Structural Approach to Assessing the Credit Risk of Hong Kong's Corporate Sector

Ip-wing Yu and Laurence Fung

522: Adjusting For The Chinese New Year: An Operational Approach

Chang Shu and Andrew Tsang

518: Exchange Rate Risk Premiums In Hong Kong Dollar: A Signal-Extraction Approach

Ip-wing Yu, Laurence Fung and Hongyi Chen

515: The Macroeconomic Impact on Hong Kong of Hypothetical Mainland Shocks

Dong He, Chang Shu, Raymond Yip and Wendy Cheng

513: Determinants of the Capital Level of Banks in Hong Kong

Yip Wong, Ka-fai Choi and Tom Fong

512: The Property Market and the Macroeconomy of the Mainland: A Cross Region Study

Wensheng Peng, Matthew Yiu and Dickson Tam

511: How Useful are the E/P Ratio and the Spreads between the E/P Ratio and Interest Rates in Forecasting Hong Kong Stock Market Conditions?

Hongyi Chen

509: Hong Kong Mortgage Rate Setting ¡V An Alternative Reference Rate?

Jim Wong, Cho-hoi Hui and Laurence Fung

508: The Relationship between Commodity and Consumer Prices in Mainland China and Hong Kong

Joanne Cutler, Carrie Chan and Unias Li

507: Monetary Management in Mainland China in the Face of Large Capital Inflows

Dong He, Carmen Chu, Chang Shu and Amy Wong

506: Benchmarking Model of Default Probabilities of Listed Companies

Cho-hoi Hui

505: Interest Rate Risk in the Pricing Of Banks' Mortgage Lending

Jim Wong, Laurence Fung, Tom Fong and Cho-hoi Hui

504: Money and Inflation in China

Stefan Gerlach and Janet Kong

503: Are Corporates' Target Leverage Ratios Time-Dependent?

Cho-hoi Hui

502: Hang Seng Index Futures Open Interest and its Relationship with the Cash Market

Hongyi Chen, Laurence Fung and Jim Wong

501: A Monetary Conditions Index for Mainland China

Wensheng Peng and Frank Leung