Similar Search Results

Monetary approach to inflation: A medium-term structural model in a small open economy (the case of the Czech Republic in 1996-2004)

Arlt, Josef; Kodera, Jan; Mandel, Martin; Tomšík, … - In: Politická ekonomie 2006 (2006) 3

The paper analyses a relationship between monetary aggregate M2 and inflation in a small open economy. The relationship … between monetary expansion and inflation as well as a dynamic of income velocity of money framework in a small open economy … money and tradables inflation in the case of the Czech small open economy is not found. The conclusions presented in the …

Persistent link: https://www.econbiz.de/10005036707

Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong

Ho, Kelvin; Hui, Cho-Hoi; Li, Ka-Fai; Wong, Jim - Hong Kong Institute for Monetary Research (HKIMR), … - 2015

The large presence of global banks in Hong Kong offers a well suited empirical setting to study the capital management of foreign bank subsidiaries from a host country perspective. Specifically, this paper uses the trade-off theory of leverage to investigate whether the leverage dynamics of...

Persistent link: https://www.econbiz.de/10011161048

Non-linear "Tuning" of Frankel's Exchange Rate Model

Michl, Aleš - In: Acta Oeconomica Pragensia 2005 (2005) 1, pp. 70-81

In this essay I've demonstrated that there is evidence of unstable and non-linear relationship between fundamental variables and exchange rates. I have tried to "tune" Frankel's (1979) real interest differential model of exchange rate fluctuation. I have distinguished between Czech crown/Euro...

Persistent link: https://www.econbiz.de/10005036477

Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009

Hui, Cho-Hoi; Genberg, Hans; Chung, Tsz-Kin - Hong Kong Monetary Authority - 2009

Given the deleveraging process in the banking sector, banks were reluctant to lend funds in the interbank market because of uncertainty about their own future need for funds during the financial crisis of 2007 - 2009. Aggregate liquidity then declined. This paper investigates the impact of the...

Persistent link: https://www.econbiz.de/10005040185

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Hui, Cho-Hoi; Lo, Chi-Fai - Hong Kong Monetary Authority - 2008

This paper proposes a path-dependent approach for estimating realignment probabilities of targeted exchange rates based on first-passage-time distributions instead of the commonly used path-independent approach. We consider that path dependency is an intrinsic characteristic of realignment risk...

Persistent link: https://www.econbiz.de/10005690168

Market Expectation of Appreciation of the Renminbi

Hui, Cho-Hoi; Lo, Chi-Fai; Chung, Tsz-Kin - Hong Kong Monetary Authority - 2008

This paper proposes a path-dependent approach for estimating maximum appreciations of the renminbi expected by the market based on first-passage-time distributions. Using market data of the renminbi spot exchange rates, non-deliverable forward rates and currency option prices from 21 July 2005...

Persistent link: https://www.econbiz.de/10005813737

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

Hui, Cho-Hoi; Fong, Tom - Hong Kong Monetary Authority - 2007

The empirical results show that after the introduction of the three refinements to the Linked Exchange Rate system in May 2005 the Hong Kong dollar follows a bounded process that is consistent with a fully credible exchange rate band. The bounded process will limit the movements of the exchange...

Persistent link: https://www.econbiz.de/10005736324

Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities

Hui, Cho-Hoi; Chung, Tsz-Kin; Lo, Chi-Fai - Hong Kong Monetary Authority - 2010

Following the bankruptcy of Lehman Brothers in mid-September 2008, there were severe disruptions in international money markets and banks reportedly faced severe liquidity shocks, in particular US-dollar funding shortages, prompting central banks around the world to adopt unprecedented policy...

Persistent link: https://www.econbiz.de/10010617549

Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011

Hui, Cho-Hoi; Fong, Tom - Hong Kong Institute for Monetary Research (HKIMR), … - 2011

While the US dollar and Japanese yen are considered as safe-haven currencies, both their sovereign credit default swap (CDS) spreads and exchange rate have varied in a wide range since late 2007. This raises the question of interconnectivity between the anticipated sovereign credit risk and the...

Persistent link: https://www.econbiz.de/10010617722

Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets

Li, Ka-Fai; Hui, Cho-Hoi; Chung, Tsz-Kin - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

Price disparities between the renminbi onshore deliverable forward and offshore non-deliverable forward exchange rates is an intriguing puzzle in financial economics. This paper investigates the determinants of these price disparities focusing on the possibility of parameter uncertainty. In the...

Persistent link: https://www.econbiz.de/10010617734