Hong Kong Institute for Monetary Research

Displaying 1-22 of 22 results

  • White Papers // Mar 2011

    How Different Are FDI And FPI Flows? : Does Distance Alter The Composition Of Capital Flows?

    The availability of bilateral capital flows between countries has given rise to a number of papers attempting to understand trends and determinants of capital flows between country pairs. Almost without exception, the paper finds that the gravity model fits the data quite well. Specifically, while economic sizes of the host...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2011

    Asian Business Cycle Synchronisation

    This paper develops a multi-level structural factor model to study international output co-movement and its underlying driving forces. The method combines a structural VAR with a multi-level factor model, which helps to understand the economic meaning of the estimated factors. Using quarterly data of real GDP growth covering nine emerging...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2011

    Amacro-Finance Approach To Exchange Rate Determination

    The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, the authors adopt a joint macro-finance strategy to model the exchange rate. The authors incorporate into a monetary exchange rate...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2011

    Asset Price And Monetary Policy - The Effect Of Expectation Formation

    This paper is a theoretical study of the effects of monetary policy reacting to fluctuations in asset price, accounting for the expectation formation effect of policy regime shift in a DSGE model calibrated to the U.S. economy. The authors find that the effect of expectation formation can substantially influence the...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2010

    Atarget-Zone Model With Two Types Of Assets

    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 relative to the US, it has been able...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Oct 2010

    The Risk Of Sudden Depreciation Of The Euro In The Sovereign Debt Crisis Of 2009-2010

    The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member countries with more sound...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Aug 2010

    Domestic Institutions And The Bypass Effect Of Financial Globalization

    This paper proposes a simple model to study how domestic institutions affect patterns of international capital flows. Inefficient financial system and poor corporate governance may be bypassed by two-way capital flows in which domestic savings leave the country in the form of financial capital outflows but domestic investment takes place...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2010

    What Are The Sources Of Financing Of The Chinese Firms?

    It appears to be common knowledge that external financing in China is mostly limited to state-owned firms and is hard to obtain for smaller private firms. In this paper the authors take a closer look at internal and external, formal and informal, financing sources of Chinese firms during the period...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jun 2010

    What Effect Has Bond Market Development In Emerging Asia Had On The Issuance Of Corporate Bonds?

    This paper investigates the determinants of firms' decision to issue public debt in emerging Asian economies, using a novel database covering the period 1995 to 2007. The authors use comparable micro level panel of eight countries - China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand - to explore...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jun 2010

    Where To Find Positive Productivity Spillovers From FDI In China: Disaggregated Analysis

    Using panel data from Chinese Industrial Surveys of Medium-sized and Large Firms for 2000-06, the authors show that while there is evidence of positive technological spillovers from FDI, such spillovers are very unevenly distributed. For some industries, there are positive spillovers from FDI presence in the same industry and province,...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Apr 2010

    The Role Of Human Capital In Imperfectly Informed International Financial Markets

    There is an extensive paper in financial economics that offers various explanations for "Home bias". What the authors add to this paper is the role of prior knowledge and private information acquisition in imperfectly-informed markets. The model of endogenous information acquisition, or "Asset management" (cf. Isaac Ehrlich and Uri Ben-Zion,...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Apr 2010

    Vertical Trade And China's Export Dynamics

    This paper examines how China's exports are affected by exchange rate shocks from countries who supply intermediate inputs to China. The authors build a simple small open economy model with intermediate goods trade to show that due to the intraregional trade in intermediate goods, a devaluation of other Asian currencies...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Mar 2010

    The Determinants Of Vertical Integration In Export Processing: Theory And Evidence From China

    This paper uses detailed product-level export data for China and proposes an extension of the Antr?s and Helpman (2004) framework that includes investments in component search to investigate the determinants of Foreign Direct Investment (FDI) versus foreign outsourcing. The authors exploit the coexistence of two regulatory trade regimes for export-processing...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2010

    The Role Of Bond Finance In Firms' Survival During The Asian Crisis

    In this paper, the authors assess the effects of bond financing on firms' survival during the 1997-98 Asian crisis. Using a novel database covering the period 1995 to 2007 for five Asian economies most affected by the crisis - Indonesia, Korea, Malaysia, Singapore and Thailand - they find strong evidence...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2009

    Cross-Border Mergers And Acquisitions (M&As) In Developing Asia: The Role Of Financial Variables

    This paper examines cross-border M&A activities in a large panel which includes many developing Asian economies. How important are financial drivers of M&As in the region, particularly financial risks such as market risk, credit risk, and liquidity risk? How significant are intra-(developing) Asian M&As and are their differences between intra-regional...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2009

    The Financial Crisis And Sizable International Reserves Depletion: From 'Fear Of Floating' To The ~Fear Of Losing International Reserves~?

    In this paper the authors study the degree to which Emerging Markets (EMs) adjusted to the global liquidity crisis by drawing down their International Reserves (IR). Overall, they find a mixed and complex picture. Intriguingly, only about half of the EMs depleted their IR as part of the adjustment mechanism....

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Nov 2009

    The Global Crisis: Fatal Decisions - Four Case Studies In Financial Regulation

    This paper uses four case studies to review the performance of the Anglo-American regulatory 'Culture'. In the decade before the global financial crisis, American and British officials were almost identical in their analysis of and non-interventionist responses to identified threats from changing financial conditions in Asia; dependence of new financial...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2009

    The Empirical Relation Between Credit Quality, Recovery, And Correlation

    This paper provides a top down approach in which individual credit risk parameters are derived analytically from a single model. This model allows for a dynamic, consistent, and unbiased modeling of credit portfolio risks. An empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation. The...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2009

    Structural Change And Counterfactual Inflation-Targeting In Hong Kong

    This paper evaluates structural change and adjustment in Hong Kong with Bayesian estimation of a small open economy with a fixed exchange rate show little or no change in the structural parameters or volatility estimates of the structural shocks before and after the Asian crisis and the experience of deflation....

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // May 2009

    Strict And Flexible Inflation Forecast Targets: An Empirical Investigation

    The authors examine whether standard theoretical models of inflation forecast targeting are consistent with the observed behaviour of the central banks of Australia, Canada, and the United States. The target criteria from these models restrict the conditionally expected paths of variables targeted by the central bank, in particular inflation and...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2009

    Real Exchange Rate, Productivity And Labor Market Rigidities

    The authors extend the classic Balassa-Samuelson model to an environment with search unemployment. They show that the classic Balassa-Samuelson model with the assumption of full employment emerges as a special case of the more generalized model. In the generalized model, the degree of labor market rigidities affects the strength of...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2009

    A High-Low Model Of Daily Stock Price Ranges

    The authors observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the co-integration concept and the related Vector Error Correction Model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2009

    A High-Low Model Of Daily Stock Price Ranges

    The authors observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the co-integration concept and the related Vector Error Correction Model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2009

    Real Exchange Rate, Productivity And Labor Market Rigidities

    The authors extend the classic Balassa-Samuelson model to an environment with search unemployment. They show that the classic Balassa-Samuelson model with the assumption of full employment emerges as a special case of the more generalized model. In the generalized model, the degree of labor market rigidities affects the strength of...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jun 2010

    What Effect Has Bond Market Development In Emerging Asia Had On The Issuance Of Corporate Bonds?

    This paper investigates the determinants of firms' decision to issue public debt in emerging Asian economies, using a novel database covering the period 1995 to 2007. The authors use comparable micro level panel of eight countries - China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand - to explore...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // May 2009

    Strict And Flexible Inflation Forecast Targets: An Empirical Investigation

    The authors examine whether standard theoretical models of inflation forecast targeting are consistent with the observed behaviour of the central banks of Australia, Canada, and the United States. The target criteria from these models restrict the conditionally expected paths of variables targeted by the central bank, in particular inflation and...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2010

    What Are The Sources Of Financing Of The Chinese Firms?

    It appears to be common knowledge that external financing in China is mostly limited to state-owned firms and is hard to obtain for smaller private firms. In this paper the authors take a closer look at internal and external, formal and informal, financing sources of Chinese firms during the period...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2009

    The Empirical Relation Between Credit Quality, Recovery, And Correlation

    This paper provides a top down approach in which individual credit risk parameters are derived analytically from a single model. This model allows for a dynamic, consistent, and unbiased modeling of credit portfolio risks. An empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation. The...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Aug 2010

    Domestic Institutions And The Bypass Effect Of Financial Globalization

    This paper proposes a simple model to study how domestic institutions affect patterns of international capital flows. Inefficient financial system and poor corporate governance may be bypassed by two-way capital flows in which domestic savings leave the country in the form of financial capital outflows but domestic investment takes place...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jul 2009

    Structural Change And Counterfactual Inflation-Targeting In Hong Kong

    This paper evaluates structural change and adjustment in Hong Kong with Bayesian estimation of a small open economy with a fixed exchange rate show little or no change in the structural parameters or volatility estimates of the structural shocks before and after the Asian crisis and the experience of deflation....

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Oct 2010

    The Risk Of Sudden Depreciation Of The Euro In The Sovereign Debt Crisis Of 2009-2010

    The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member countries with more sound...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Nov 2009

    The Global Crisis: Fatal Decisions - Four Case Studies In Financial Regulation

    This paper uses four case studies to review the performance of the Anglo-American regulatory 'Culture'. In the decade before the global financial crisis, American and British officials were almost identical in their analysis of and non-interventionist responses to identified threats from changing financial conditions in Asia; dependence of new financial...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2010

    Atarget-Zone Model With Two Types Of Assets

    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 relative to the US, it has been able...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2009

    Cross-Border Mergers And Acquisitions (M&As) In Developing Asia: The Role Of Financial Variables

    This paper examines cross-border M&A activities in a large panel which includes many developing Asian economies. How important are financial drivers of M&As in the region, particularly financial risks such as market risk, credit risk, and liquidity risk? How significant are intra-(developing) Asian M&As and are their differences between intra-regional...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2011

    Amacro-Finance Approach To Exchange Rate Determination

    The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, the authors adopt a joint macro-finance strategy to model the exchange rate. The authors incorporate into a monetary exchange rate...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Dec 2009

    The Financial Crisis And Sizable International Reserves Depletion: From 'Fear Of Floating' To The ~Fear Of Losing International Reserves~?

    In this paper the authors study the degree to which Emerging Markets (EMs) adjusted to the global liquidity crisis by drawing down their International Reserves (IR). Overall, they find a mixed and complex picture. Intriguingly, only about half of the EMs depleted their IR as part of the adjustment mechanism....

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jan 2011

    Asset Price And Monetary Policy - The Effect Of Expectation Formation

    This paper is a theoretical study of the effects of monetary policy reacting to fluctuations in asset price, accounting for the expectation formation effect of policy regime shift in a DSGE model calibrated to the U.S. economy. The authors find that the effect of expectation formation can substantially influence the...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Mar 2010

    The Determinants Of Vertical Integration In Export Processing: Theory And Evidence From China

    This paper uses detailed product-level export data for China and proposes an extension of the Antr?s and Helpman (2004) framework that includes investments in component search to investigate the determinants of Foreign Direct Investment (FDI) versus foreign outsourcing. The authors exploit the coexistence of two regulatory trade regimes for export-processing...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2011

    Asian Business Cycle Synchronisation

    This paper develops a multi-level structural factor model to study international output co-movement and its underlying driving forces. The method combines a structural VAR with a multi-level factor model, which helps to understand the economic meaning of the estimated factors. Using quarterly data of real GDP growth covering nine emerging...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Apr 2010

    The Role Of Human Capital In Imperfectly Informed International Financial Markets

    There is an extensive paper in financial economics that offers various explanations for "Home bias". What the authors add to this paper is the role of prior knowledge and private information acquisition in imperfectly-informed markets. The model of endogenous information acquisition, or "Asset management" (cf. Isaac Ehrlich and Uri Ben-Zion,...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Apr 2010

    Vertical Trade And China's Export Dynamics

    This paper examines how China's exports are affected by exchange rate shocks from countries who supply intermediate inputs to China. The authors build a simple small open economy model with intermediate goods trade to show that due to the intraregional trade in intermediate goods, a devaluation of other Asian currencies...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Jun 2010

    Where To Find Positive Productivity Spillovers From FDI In China: Disaggregated Analysis

    Using panel data from Chinese Industrial Surveys of Medium-sized and Large Firms for 2000-06, the authors show that while there is evidence of positive technological spillovers from FDI, such spillovers are very unevenly distributed. For some industries, there are positive spillovers from FDI presence in the same industry and province,...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Mar 2011

    How Different Are FDI And FPI Flows? : Does Distance Alter The Composition Of Capital Flows?

    The availability of bilateral capital flows between countries has given rise to a number of papers attempting to understand trends and determinants of capital flows between country pairs. Almost without exception, the paper finds that the gravity model fits the data quite well. Specifically, while economic sizes of the host...

    Provided By Hong Kong Institute for Monetary Research

  • White Papers // Feb 2010

    The Role Of Bond Finance In Firms' Survival During The Asian Crisis

    In this paper, the authors assess the effects of bond financing on firms' survival during the 1997-98 Asian crisis. Using a novel database covering the period 1995 to 2007 for five Asian economies most affected by the crisis - Indonesia, Korea, Malaysia, Singapore and Thailand - they find strong evidence...

    Provided By Hong Kong Institute for Monetary Research