We find that from 1995 to 2002 in China, the dispersion of wealth decreased, the moneywealth ratio increased for all wealth levels and the aggregate money-output ratio increased. We develop a two-asset dynamic general equilibrium model in which households face a portfolio adjustment cost and a...

This paper examines the sustainability of the currency board arrangements in Argentina and Hong Kong. We employ a Markov switching model with two regimes to infer the exchange rate pressure due to economic fundamentals and market expectations. The empirical results suggest that economic...

This note examines the role of risk aversion in computing the welfare cost of consumption fluctuations under different utility and consumption process specifications. We find that the welfare cost of consumption fluctuations under a Constant-Relative-Risk-Aversion (CRRA) utility specification...

This paper investigates the spillover of financial crises by studying the dynamics of correlation between eleven Asian and six Latin American stock markets vis-¨¤-vis the US stock market. A regional factor that drives common movements of stock markets in each region is identified for the...

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...

Between the fourth quarter of 2008 and the end of 2009, the strong-side Convertibility Undertaking was triggered repeatedly with remarkable capital inflows into the Hong Kong dollar. In view of this development, this paper proposes an analytical framework to understand the relationship between a...

This paper extends the single-asset target-zone model pioneered by Krugman (1991) to include both bonds and equities. The new model provides a convenient framework for investigating a 'puzzle' recently noted in Hong Kong. While the economy has experienced persistently lower interest rates...