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The Expectations of Hong Kong Dollar Devaluation and Their Determinants

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  • Bronka Rzepkowski
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    Paper provided by CEPII research center in its series Working Papers with number 2000-04.

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    Date of creation: Feb 2000
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    Handle: RePEc:cii:cepidt:2000-04

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    Keywords: Exchange rate policy; Banking system; Econometrics; currency board; contagion; crisis; Devaluation; Econometric methods;

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    12. JosÈ B. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "ERM bandwidths for EMU and after: evidence from foreign exchange options," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 12(24), pages 53-89, 04.
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    19. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(2), pages 351-372, December.
    20. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    21. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
    22. Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, American Finance Association, vol. 40(1), pages 155-73, March.
    23. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 541, Board of Governors of the Federal Reserve System (U.S.).
    24. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
    25. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(03), pages 267-284, September.
    26. Jeanne, Olivier, 1997. "Are currency crises self-fulfilling?: A test," Journal of International Economics, Elsevier, Elsevier, vol. 43(3-4), pages 263-286, November.
    27. Yum K. Kwan & Francis T. Lui, 1996. "Hong Kong's Currency Board and Changing Monetary Regimes," NBER Working Papers 5723, National Bureau of Economic Research, Inc.
    28. Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(5), pages 717-748, October.
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