Title

Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore

Publication Type

Journal Article

Publication Date

2006

Abstract

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.

Keywords

Asian Financial Crisis; BEKK model; Currency Board System; Exchange-rate system; GARCH model

Discipline

Asian Studies | Econometrics | Finance

Research Areas

Econometrics

Publication

International Review of Economics and Finance

Volume

15

Issue

2

First Page

212

Last Page

227

ISSN

1059-0560

Identifier

10.1016/j.iref.2004.11.004

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.iref.2004.11.004

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