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La crédibilité du currency board de Hong Kong

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  • Bronka Rzepkowski
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    Abstract

    [eng] Credibility of the Hong Kong currency board. . This 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. [fre] La probabilité et l'intensité d'une dévaluation du dollar de Hong Kong anticipée à l'horizon d'un mois sont estimées à partir d'options de change du marché de gré à gré, de février 1997 à décembre 1998. Parmi les déterminants possibles de ces anticipations, on teste la présence d'effets de contagion issus de la crise asiatique, ainsi que l'efficacité des actions des autorités monétaires conduites dans le but de juguler les pressions spéculatives. L'effet d'un choc extérieur mondial, capté par le dollar/yen et sa volatilité implicite, les effets induits par des réallocations massives de portefeuilles dans les pays voisins et la contagion psychologique sont des canaux de contagion significatifs.

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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue économique.

    Volume (Year): 52 (2001)
    Issue (Month): 2 ()
    Pages: 285-301

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    Handle: RePEc:prs:reveco:reco_0035-2764_2001_num_52_2_410315

    Note: DOI:10.2307/3503049
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

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