Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore
The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the domestic–US interest differentials under the two exchange-rate regimes during the Asian Financial Crisis as well as the pre-and post-crisis periods. Using a bivariate generalized autoregressive conditional heteroscedasticity model, we also investigate whether there is any change in the correlation between the domestic and US interest rates due to the Asian Financial Crisis.
Asian Financial Crisis; BEKK model; Currency Board System; Exchange-rate system; GARCH model
Asian Studies | Econometrics | Finance
International Review of Economics and Finance
TSE, Yiu Kuen and Yip, Paul S. L..
Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore. (2006). International Review of Economics and Finance. 15, (2), 212-227. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/455
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