Hong Kong as a city-state economy often records current account surplus. Empirical results show that the surplus is positively related to trade openness, terms of trade, volatility of output gap, the M2-to-GDP ratio and the non-service-sector-to-GDP ratio, and is negatively associated with the...

In this paper, we assess the interdependence between equity markets in the EMEAP region and the US, and across the EMEAP markets using two indicators, namely the dynamic conditional correlation and the spillover index. These indicators show that equity market interdependence has increased...

This paper estimates macroeconomic credit risk of banks¡¦ loan portfolio based on a class of mixture vector autoregressive models. Such class of models can differentiate distributions of default rates and macroeconomic conditions for different market situations and can capture their dynamics...

This paper develops both a bivariate and a multivariate indicator model using a large group of high-frequency economic indicators to forecast Hong Kong's non-rental component inflation. Indicator models can offer timely forecasts on future inflation developments because monthly indicators are...

This paper studies the interaction between foreign trade and domestic demand and supply in China¡¦s economic transformation. It compares China¡¦s export dependency with other economies using input-output analysis. The paper also conducts econometric analysis of provincial level data to...

This paper presents a benchmarking model for validation of default probabilities of listed companies for Basel II purposes. The model is based on the recent studies on the predictive capability of structural credit risk models. Benchmark ratings and one-year default probabilities are assigned to...

In this paper we attempt to delineate conceptual issues relating to the definition of capital flows, and introduce a framework that organises survey data and accounting information at different time horizons to form a judgment on the nature and scale of fund flows in Hong Kong. Given the...

The sharp rise in government debt in many major economies following the introduction of large fiscal stimulus measures during the global financial crisis of 2008-09 has triggered concerns over its impact on long-term interest rates and the potential negative consequences for future growth and...

This paper estimates the degree of wage and price flexibility of the Hong Kong economy with the use of a stylised dynamic stochastic general equilibrium (DSGE) model developed for the Hong Kong economy. It also studies the factors contributing to deflation in Hong Kong following the Asian...

The predictability of stock market returns has been a challenge to market practitioners and financial economists. This is also important to central banks responsible for monitoring financial market stability. A number of variables have been found as predictors of future stock market returns with...