La crédibilité du currency boardde Hong Kong
AbstractThis paper uses over-the-counter currency options on the Hong Kong dollar to estimate the expected probability and intensity of a Hong Kong dollar devaluation over a one-month horizon, from February 1997 to the end of 1998. Addressing the issue of the determinants driving these anticipations, it tests both for contagion effects arising from the Asian crisis and the efficiency of the monetary authorities? responses to speculative attacks. The external effect captured by the dollar/yen and its implied volatility, the spillover effect via portfolio reallocations and the pure psychological contagion effect picked up by Asian devaluation announcements appear significant. Classification JEL : E42, E58, F41
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): 52 (2001)
Issue (Month): 2 ()
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Find related papers by JEL classification:
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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