Development of the local bond markets has been a top priority for financial reforms in the region after the Asian financial crisis. Various initiatives have also been taken to foster the development of the regional bond market. This paper looks into the degree of integration of sovereign...

This paper quantifies how much of exports from eight East Asian economies were consumed by consumers in China, US, Japan, other developed economies, and the rest of the world. We control for the indirect exports through China, i.e., the parts and components that East Asian economies exported to...

This paper adopts a three-equation New Keynesian model to evaluate the appropriateness of China's monetary policy framework. Our simulation results show that a hybrid rule that relies on both interest rate and quantity of money to conduct monetary policy appears to be more suitable than its...

The theoretical prediction of target exchange rates expects mean reversion of the exchange rates. This paper presents a model for valuing European foreign exchange options, in which the forward foreign exchange rate follows a mean-reverting lognormal process. The mean-reverting process has...

Among the various risks faced by banks that may have a systemic impact on the banking system, the credit risk has long been one of the concerns of central banks. This paper illustrates how to assess the credit risk of the banking system in Hong Kong by constructing an index of multiple default...

Traditional measures of concentration of financial market activities do not adequately reflect an economy¡¦s status as an international financial centre (IFC). In this paper, we construct alternative measures that better capture the ability of an IFC to attract capital flows and international...

Financial integration has strong implications for financial stability. On the one hand, financial integration among economies helps improve their capacity to absorb shocks and foster development. On the other hand, intensified financial linkages in a world of increasing capital mobility may also...

This paper develops a simple model for measuring the provision for a pool of collateralised retail loans with homogenous characteristics (i.e. the same type of collateral and broadly the same loan-to-value ratio) due to default, where the collateral coverage is treated as a put option with the...

This paper analyses the potential benefits from reforms aimed at promoting domestic demand in the region, as well as the effects of slower growth in the United States and the G3 on EMEAP economies.The analysis is based on simulation scenarios using an expanded version of the IMF Global...

Forward exchange rates convey information about the risk premiums of the currency exposures of the investors. The extraction of these risk premiums provides market information for the expected future values of a currency, which may be useful for policymakers in their market surveillance and...