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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
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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
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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
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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
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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
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The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010
Hui, Cho-Hoi; Chung, Tsz-Kin - Hong Kong Institute for Monetary Research (HKIMR), … - 2010
The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...
Persistent link: https://www.econbiz.de/10008680479
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Time Dependent Barrier Option Values
Hui, Cho-Hoi - 2007
Time dependent barrier options have barrier periods covering a portion of option life. This feature makes them hybrids … of barrier options and ordinary European options. There are two types of time dependent barrier options: 1. front end … barrier options; 2. rear end barrier options. The options are more flexible than regular barrier options for investors who …
Persistent link: https://www.econbiz.de/10014050825
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Exchange Rate Dynamics With Crash Risk and Interventions
Hui, Cho-Hoi; Lo, Chi-Fai; Liu, Chi-Hei - 2022
An exchange rate model with crash risk is developed with the exchange rate confined in a wide moving band. A currency crash occurs when its exchange rate breaches a boundary. Using an asymmetric mean-reverting fundamental shock to incorporate intervention policy in the model, the log-normalised...
Persistent link: https://www.econbiz.de/10014076790
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Swiss Franc’s One-Sided Target Zone During 2011-2015
Hui, Cho-Hoi - 2016
On 6 September 2011, a ceiling on the value of the Swiss franc was imposed, at CHF 1.2 per euro. With the continuous weakness of the euro area economy, this exchange rate limit was abandoned on 15 January 2015. This paper proposes a quasi-bounded process for the Swiss franc exchange rate...
Persistent link: https://www.econbiz.de/10013004173
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Exchange Rate Dynamics Under a Currency Board When Policy Rates are Zero
Hui, Cho-Hoi - 2017
In a target-zone exchange rate system, both fundamentals and exchange rate expectations, reflected in interest rate differentials between the domestic and anchor currency, determine the exchange rate. However, the scope to capture exchange rate expectations is limited when policy rates are close...
Persistent link: https://www.econbiz.de/10012947606