On the Dynamics of the HKD Exchange Rate Under Convertibility Undertakings

The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate evolution. This model accommodates the empirical exchange rate distribution, associated transition probabilities, and the volatility of the historical exchange rate

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Year of publication:	2014
Authors:	Yee, Hong
Other Persons:	Dokuchaev, Nikolai (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Wechselkurs \| Exchange rate \| Konvertibilität \| Convertibility \| Wechselkurspolitik \| Exchange rate policy \| Theorie \| Theory \| Kaufkraftparität \| Purchasing power parity

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 10, 2013 erstellt
Other identifiers:	10.2139/ssrn.2338322 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013062565