The regime-dependent evolution of credibility: A fresh look at Hong Kong's linked exchange rate system

Boris Blagov and Michael Funke

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: An estimated Markov-switching DSGE modelling framework that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent credibility of Hong Kong s linked exchange rate system. The model distinguishes two regimes with respect to the time-series properties of the risk premium. Regime-dependent impulse re- sponses to macroeconomic shocks reveal substantial differences in spreads. These findings contribute to efforts at modelling exchange rate regime credibility as a non-linear process with two distinct regimes.

JEL-codes: C51 E32 F41 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-dge, nep-mac, nep-mon and nep-opm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: THE REGIME-DEPENDENT EVOLUTION OF CREDIBILITY: A FRESH LOOK AT HONG KONG'S LINKED EXCHANGE RATE SYSTEM (2019)
Working Paper: The regime-dependent evolution of credibility: A fresh look at Hong Kong s linked exchange rate system (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:112819

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