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From Hong Kong Institute for Monetary Research
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052011: The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market Downloads
Song Han and Dan Li
052010: The Determinants of Vertical Integration in Export Processing: Theory and Evidence from China Downloads
Ana Fernandes and Heiwai Tang
052009: Hong Kong Consumer Prices are Flexible Downloads
James Yetman
052008: Banking In China: Are New Tigers Supplanting the Mammoths? Downloads
Giovanni Ferri
052007: The Property Market and the Macroeconomy of the Mainland: A Cross Region Study Downloads
Wensheng Peng, Dickson C. Tam and Matthew S. Yiu
052006: Terms-of-Trade Changes, Real GDP, and Real Value Added in the Open Economy: Reassessing Hong Kong's Growth Performance Downloads
Ulrich Kohli
052005: Exchange Rates and Markov Switching Dynamics Downloads
Yin-Wong Cheung and Ulf Erlandsson
052004: Testing for Output Convergence: A Re-examination Downloads
Yin-Wong Cheung and Antonio Garcia-Pascual
052003: FDI Contribution to Capital Flows and Investment in Capacity Downloads
Assaf Razin
052002: Unobservable-Component Estimates of Output Gaps in Five Asian Economies Downloads
Stefan Gerlach and Matthew S. Yiu
052001: Offshore Investment Funds: Monsters in Emerging Markets? Downloads
Woochan Kim and Shang-Jin Wei
052000: The Foreign Exchange Origins of Japan's Economic Slump and Low Interest Liquidity Trap Downloads
Ronald McKinnon and Kenichi Ohno
042017: Exchange Rate Movements and Fundamentals: Impact of Oil Prices and China¡¯s Growth Downloads
Shuo Cao and Hongyi Chen
042016: The Coming Wave: Where Do Emerging Market Investors Put Their Money? Downloads
G. Karolyi, David T. Ng and Eswar S. PrasadAuthor-Workplace-Name: Cornell University
042015: International Asset Allocations and Capital Flows: The Benchmark Effect Downloads
Claudio Raddatz, Sergio Schmukler and Tomas Williams
042014: Interest Rate Determination in China: Past, Present, and Future Downloads
Dong He, Honglin Wang and Xiangrong Yu
042013: The Role of Household Saving in the Economic Rise of China Downloads
Steven Lugauer and Nelson Mark
042012: The Trade Comovement Puzzle and the Margins of International Trade Downloads
Wei Liao and Ana Maria Santacreu
042011: Nowcasting Chinese GDP: Information Content of Economic and Financial Data Downloads
Matthew S. Yiu and Kenneth K. Chow
042010: Monetary Policy and Trade Globalization Downloads
Dudley Cooke
042009: Insider Trading in Hong Kong: Tests of Stock Returns and Trading Frequency Downloads
Michael Firth, T. Y. Leung and Oliver Rui
042008: Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios Downloads
C. F. Lo, T. C. Wong, C. H. Hui and M. X. Huang
042007: The Weak Link Theory of Economic Development Downloads
Charles Jones
042006: A Reappraisal of the Border Effect on Relative Price Volatility Downloads
Yin-Wong Cheung and Kon S. Lai
042005: Evaluation of Exchange-Rate, Capital-Market, and Dollarization Regimes in the Presence of Sudden Stops Downloads
Assaf Razin and Yona Rubinstein
042004: A Comparison of US and Hong Kong Cap-Floor Volatility Dynamics Downloads
Paul McNelis and Salih Neftci
042003: Business Cycle Correlations in Asia-Pacific Downloads
Mark Crosby
042002: One Reason Countries Pay Their Debts: Renegotiation and International Trade Downloads
Andrew Rose
042001: After the Crisis, The East Asian Dollar Standard Resurrected: An Interpretation of High Frequency Exchange Rate Pegging Downloads
Ronald McKinnon
042000: Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibility Downloads
Michael Devereux and Charles Engel
032017: Can Exchange Rate Dynamics in Krugman¡¯s Target-zone Model be Directly Tested?Abstract: Despite Krugman's (1991) model being a benchmark for modelling target zones, empirical support has been sparse due to the subtle non-linear relationship between the observable exchange rate and underlying unobservable fundamental. This paper provides an alternative approach to derive explicit exchange rate dynamics by approximating a quadratic relationship between the exchange rate and fundamental through a power-series method. The exchange rate dynamics with a parametric class of drift terms of the stochastic fundamental, including zero-trend (Krugman¡¯s model), symmetric and asymmetric mean-reverting forces regarding how central banks intervene are ready for direct empirical tests. The empirical results demonstrate that the derived dynamics following a square-root process (in Krugman¡¯s model), or mean-reverting square-root process, adequately fit the exchange rate data of various target-zone systems including the Exchange Rate Mechanism and the Linked Exchange Rate System of the Hong Kong dollar. The model parameters of the exchange rate dynamics under the asymmetric mean-reverting fundamental are shown to be associated with realignment of the currencies¡¯ target zones Downloads
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
032016: A New Dilemma: Capital Controls and Monetary Policy in Sudden-Stop Economies Downloads
Michael Devereux, Eric Young and Changhua Yu
032015: Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong Downloads
Kelvin Ho, Cho-Hoi Hui, Ka-Fai Li and Jim Wong
032014: How Does Loan-To-Value Policy Strengthen Banks' Resilience to Property Price Shocks - Evidence from Hong Kong Downloads
Eric Wong, Andrew Tsang and Steven Kong
032013: Carry Trades and the Performance of Currency Hedge Funds Downloads
Federico Nucera and Giorgio Valente
032012: China's LGFV Crisis 2011: The Conflict between Local Autonomy, National Interest and Financial Reforms Downloads
Leo F. Goodstadt
032011: Asset Price and Monetary Policy - The Effect of Expectation Formation Downloads
Nan-Kuang Chen and Han-Liang Cheng
032010: The Role of Bond Finance in Firms' Survival During the Asian Crisis Downloads
Marina-Eliza Spaliara and Serafeim Tsoukas
032009: A High-Low Model of Daily Stock Price Ranges Downloads
Yan-Leung Cheung, Yin-Wong Cheung and Alan Wan
032008: Markets and Housing Finance Downloads
Veronica Warnock and Francis Warnock
032007: State Visits and International Trade Downloads
Volker Nitschr
032006: The Value of Information in Growth and Development Downloads
Charles Jones
032005: Balance of Payments Surplus and Renminbi Revaluation Pressure Downloads
Huayu Sun and Yue Ma
032004: The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong Downloads
Ólan Henry and Michael McKenzie
032003: East Asian Equity Markets, Financial Crises, and the Japanese Currency Downloads
Y.L. Cheung, Y.W. Cheung and K.C. Ng
032002: Monetary Policy in East Asia (And Elsewhere): Does Targeting Inflation Require 'Inflation Targeting'? Downloads
Hans Genberg
032001: Effects of U.S. Inflation on Hong Kong and Singapore Downloads
Yin-Wong Cheung and Jude Yuen
032000: Exchange Rate Volatility and Macroeconomic Performance in Hong Kong Downloads
Mark Crosby
022017: Effects of Intermediate Input Tariff Reduction on Innovations in China Downloads
Qing Liu and Larry Qiu
022016: SOE and Chinese Real Business Cycle Downloads
Daoju Peng, Kang ShiAuthor-Workplace-Name: Chinese University of Hong Kong and Juanyi XuAuthor-Workplace-Name: Hong Kong University of Science and Technology
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