Publication Type
Journal Article
Version
submittedVersion
Publication Date
12-2003
Abstract
Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive process and the conditional-variance equation follows a generalized autoregressive conditional heteroscedasticity process. This model captures the time-varying level and volatility of the differential. In light of the empirical results we provide an assessment of the reforms in HK.
Keywords
Asian financial crisis, Currency board system, GARCH model, Interbank rate
Discipline
Asian Studies | Finance
Research Areas
Econometrics
Publication
Journal of Banking and Finance
Volume
27
Issue
12
First Page
2273
Last Page
2296
ISSN
0378-4266
Identifier
10.1016/s0378-4266(02)00326-6
Publisher
Elsevier
Citation
TSE, Yiu Kuen and YIP, Paul S. L..
The Impacts of Hong Kong's Currency Board Reforms on Its Interbank Market. (2003). Journal of Banking and Finance. 27, (12), 2273-2296.
Available at: https://ink.library.smu.edu.sg/soe_research/320
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/s0378-4266(02)00326-6