Fung, Joseph K.W; Lam, FY Eric C - 2022
This study rationalizes the negative HKD-USD interest rate (HIBOR-LIBOR) differentials observed after the US interest … that these considerations largely explain the observed interest rate differentials. We then perform robust Bayesian … rate hike on December 17, 2015. Why do arbitragers not eliminate the differentials until parity? We first analyse two …