• 2018

    WP No.22 / 2018
    Do long-term institutional investors contribute to financial stability? – Evidence from equity investment in Hong Kong and international markets
    by  Tom Fong, Angela Sze and Edmund Ho
    WP No.21 / 2018
    Funding Constraints and Market Illiquidity in the European Treasury Bond Market
    by  Sophie Moinas, Minh Nguyen and Giorgio Valente
    WP No.20 / 2018
    Computer-based Trading, Institutional Investors and Treasury Bond Returns
    by  Xiaoquan Liu, Ingrid Lo, Minh Nguyen and Giorgio Valente
    WP No.19 / 2018
    High-Frequency Trading in the U.S. Treasury Market around Macroeconomic News Announcements
    by  George J. Jiang, Ingrid Lo and Giorgio Valente
    WP No.14 / 2018
    A Taste for Dim Sum: Analysing the Financial Diffusion in the New Offshore Renminbi Debt Securities Market
    by  Tom Fong, Paul MIZEN and Serafeim Tsoukas
    WP No.13 / 2018
    Liquidity Shocks and “Borrow to Lend” Shadow Banking Activities
    by  Zhibo Tan
    WP No.11 / 2018
    Pushing on a String: State-Owned Enterprises and Monetary Policy Transmission in China
    by  Hongyi Chen, Ran Li and Peter TILLMANN
    WP No.07 / 2018
    Chinese Local Bond Spreads, Monetary Policy and “Misallocation”
    by  Robert Dekle (Research Fellow) and Andrew Tsang
    WP No.05 / 2018
    Assessing the interconnectedness between cross-border shadow banking systems
    by  Tom Fong, Angela Sze and Edmund Ho
    WP No.04 / 2018
    The flow-performance relationship in emerging market bond funds
    by  David Leung and Max Kwong
    WP No.03 / 2018
    Mapping China’s Time-Varying House Price Landscape
    by  Michael FUNKE (Research Fellow), Danilo Leiva-Leon and Andrew Tsang
  • 2017

    WP No.29 / 2017
    Monetary Rules and Policy Targets under Managed Exchange Rates and Capital Controls: The Case of China
    WP No.28 / 2017
    Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
    by  Philippe BACCHETTA and Eric van WINCOOP (Research Fellow)
    WP No.27 / 2017
    Expectations and Risk Premia at 8:30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
    by  Peter Hördahl, Eli M. Remolona and Giorgio Valente
    WP No.26 / 2017
    The International Transmission of Monetary Policy through Financial Centres: Evidence from the United Kingdom and Hong Kong
    by  Robert Hills, Kelvin Ho, Rhiannon Sowerbutts, Dennis Reinhardt, Eric Wong and Gabriel Wu
    WP No.25 / 2017
    Breakdown of Covered Interest Parity: Mystery or Myth?
    by  Alfred Wong and Jiayue Zhang
    WP No.23 / 2017
    Tail risk spillover in Asia Pacific stock market
    by  Tom Fong, Ka-Fai Li and Edmund Ho
    WP No.22 / 2017
    Corporate Default Risk and Loan Pricing Behaviour in China
    by  Hongyi Chen, Jianghui Chen and Gaofeng Han
    WP No.21 / 2017
    Exchange rate dynamics under a currency board when policy rates are zero
    by  Cho-Hoi Hui, Ka-Fai Li and Chi-Fai Lo
    WP No.18 / 2017
    Determinants of mutual fund flows to Hong Kong equities
    by  Tom Fong, Angela Sze and Edmund Ho
    (Forthcoming in Journal of International Financial Markets, Institutions & Money )
    WP No.13 / 2017
    Quantifying Financing Needs in the Belt and Road Countries and Industries
    by  Hongyi Chen, Tianjiao Jiang and Chen LIN (Research Fellow)
    WP No.11 / 2017
    Dynamics of Market Anomalies and Measurement Errors of Risk-free Interest Rates
    by  Cho-Hoi Hui, Chi-fai LO (Research Fellow) and Chin-To Fung
    WP No.09 / 2017
    To Guide or not to Guide? Quantitative Monetary Policy Tools and Macroeconomic Dynamics in China
    by  Hongyi Chen, Michael FUNKE (Research Fellow), Ivan Lozev and Andrew Tsang
    WP No.08 / 2017
    Structural transformation and its implications for the Chinese economy
    WP No.07 / 2017
    Term Premium Spillovers from the US to International Markets
    by  Ka Fai Li, Tom Fong and Edmund Ho
    WP No.06 / 2017
    The RMB Central Parity Formation Mechanism: August 2015 to December 2016
    by  Yin-Wong CHEUNG (Research Fellow), Cho-Hoi Hui and Andrew Tsang
    (Published in Journal of International Money and Finance, Vol. 86, (2018), pp. 223-243. Previous title: The RMB Central Parity Formation Mechanism after August 2015: A Statistical Analysis)
    WP No.04 / 2017
    Exchange Rate Movements and Fundamentals: Impact of Oil Prices and China’s Growth
    by  Shuo Cao and Hongyi Chen
    WP No.03 / 2017
    Can Exchange Rate Dynamics in Krugman’s Target-zone Model be Directly Tested?
    by  Cho-Hoi Hui, Chi-fai LO (Research Fellow) and Po-Hon Chau
    WP No.01 / 2017
    Effects of Capital Flow on the Equity and Housing Markets in Hong Kong
    by  Yin-Wong CHEUNG (Research Fellow), Kenneth K. Chow and Matthew S. Yiu
    (Published in Pacific Economic Review, 2017, Volume 22(3), Pages 332-349.)
  • 2016

    WP No.18 / 2016
    Dynamic interactions between government bonds and exchange rate expectations in currency options
    by  Cho-Hoi Hui and Edward Tan
    WP No.17 / 2016
    How Do Housing Purchase Limits Affect Firm Default Risks in Mainland China?
    by  Gaofeng Han and Shilin Zheng
    WP No.16 / 2016
    Risk-adjusted Covered Interest Parity: Theory and Evidence
    by  Alfred Wong, David Leung and Calvin Ng
    WP No.15 / 2016
    The Diffusion and Dynamics of Producer Prices, Deflationary Pressure Across Asian Countries, and the Role of China
    WP No.14 / 2016
    Offshore Renminbi Trading: Findings from the 2013 Triennial Central Bank Survey
    by  Matthew S. Yiu and Yin-Wong CHEUNG (Research Fellow)
    (Forthcoming in International Economics (previously called: Economie Internationale))
    WP No.12 / 2016
    International Banking and Cross-border Effects of Regulation: Lessons from Hong Kong
    by  Kelvin Ho, Eric Wong and Edward Tan
    (Published in International Journal of Central Banking, Vol. 13, No. S1, (2017), pp. 195-221)
    WP No.11 / 2016
    Pricing Corporate Bonds With Interest Rates Following Double Square-root Process
    by  Chi-fai LO (Research Fellow) and Cho-Hoi Hui
    (Published in International Journal of Financial Engineering Vol. 3, No. 3, 1650015 (2016))
    WP No.10 / 2016
    The Renminbi Central Parity: An Empirical Investigation
    by  Yin-Wong CHEUNG (Research Fellow), Cho-Hoi Hui and Andrew Tsang
    (Published in Pacific Economic Review, Vol. 23, No. 2, (2018), pp. 164–183)
    WP No.09 / 2016
    The Impact of US Monetary Policy and Other External Shocks on the Hong Kong Economy: A Factor-augmented VAR Approach
    by  Hongyi Chen and Andrew Tsang
    (Forthcoming in Pacific Economic Review: April 2018. The new title is "The Impact of Interest Rate Shocks and Other External Shocks on the Hong Kong Economy: A Factor-augmented VAR Approach")
    WP No.08 / 2016
    Measuring Spillovers between the US and Emerging Markets
    by  Tom Pak Wing Fong, Ka Fai Li and Angela Kin Wan Sze
    WP No.07 / 2016
    Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets
    by  Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
    (Published in North American Journal of Economics and Finance, Vol. 44: 109-128 (2018))
    WP No.06 / 2016
    The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR
    (Published in China Economic Review, Vol. 43, (2017), pp. 216-231)
    WP No.01 / 2016
    Do banks extract informational rents through collateral?
    by  Bing Xu, Honglin Wang and Adrian van Rixtel
  • 2015

    WP No.25 / 2015
    The Nexus of Official and Illicit Capital Flows – The Case of Hong Kong
    by  Yin-Wong CHEUNG (Research Fellow), Kenneth K. Chow and Matthew S. Yiu
    WP No.24 / 2015
    Accounting for Sovereign Tail Risk in Emerging Economies: The Role of Global and Domestic Risk Factors
    by  Tom Fong, Ka-Fai Li and John Fu
    (Published at Emerging Markets Review, Volume 34, March 2018, Pages 98-110 )
    WP No.21 / 2015
    Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium
    by  Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
    (Published in Finance Research Letters Vol. 21, (2017), Pages 100-106. The new title is "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium")
    WP No.20 / 2015
    Effectiveness of Loan-To-Value Ratio Policy and Its Transmission Mechanism – Empirical Evidence from Hong Kong
    by  Eric Wong, Kelvin Ho and Andrew Tsang
    (Published in Journal of Financial Perspectives, Vol. 3(2), (July 2015), pages 93-102.)
    WP No.19 / 2015
    Asynchronous Monetary Policies and International Dollar Credit
    by  Dong He, Eric Wong, Andrew Tsang and Kelvin Ho
    (Forthcoming in Pacific Economic Review)
    WP No.18 / 2015
    Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets
    by  Cho-Hoi Hui, Chi-Fai Lo, Xiao-Fen Zheng and Tom Fong
    (Forthcoming in Journal of Financial Engineering. The new title is "Probabilistic approach to measuring early-warning signals of systemic contagion risk".)
    WP No.15 / 2015
    Swiss Franc’s One-Sided Target Zone during 2011-2015
    by  C. H. Hui, C. F. Lo and T. Fong
    (Published in International Review of Economics and Finance, Vol. 44, (2016), pp. 54–67)
    WP No.14 / 2015
    Global Liquidity, Capital Inflows and House Prices in ASEAN Economies
    by  Matthew S. Yiu and Sahminan Sahminan
    (Published in International Real Estate Review, Vol.20(1), (Spring 2017), pages 105-126.)
    WP No.13 / 2015
    How Might Sovereign Bond Yields in Asia Pacific React to US Monetary Normalisation under Turbulent Market Conditions?
    by  Tom Fong, Ceara Hui and Alfred Wong
    WP No.10 / 2015
    Corporate Leverage in China: Why has It Increased Fast in Recent Years and Where do the Risks Lie?
    by  Wenlang Zhang, Gaofeng Han, Brian Ng and Steven Chan
    WP No.03 / 2015
    Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong
    by  Kelvin Ho, Cho-Hoi Hui, Ka-Fai Li and Jim Wong
    WP No.02 / 2015
    The International Transmission of Shocks: Foreign Bank Branches in Hong Kong during Crises
    by  Simon H. KWAN (Research Fellow), Eric T.C. Wong and Cho-hoi Hui
    WP No.01 / 2015
    The Internationalisation of the Renminbi as an Investing and a Funding Currency: Analytics and Prospects
    by  Dong He, Paul Luk and Wenlang Zhang
    (Forthcoming in Pacific Economic Review)
  • 2014

    WP No.24 / 2014
    Network Effects in Currency Internationalisation: Insights from BIS Triennial Surveys and Implications for the Renminbi
    by  Dong He and Xiangrong Yu
    WP No.22 / 2014
    Chinese Shadow Banking: Bank-Centric Misperceptions
    by  Tri Vi DANG (Research Fellow), Honglin Wang and Aidan Yao
    WP No.21 / 2014
    Implications of Liquidity Management of Global Banks for Host Countries — Evidence from Foreign Bank Branches in Hong Kong
    by  Eric Wong, Andrew Tsang and Steven Kong
    WP No.20 / 2014
    Debt Deleveraging and the Zero Bound: Potentially Perverse Effects of Real Exchange Rate Movements
    by  Paul Luk and David Vines
    WP No.19 / 2014
    Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model
    by  Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
    WP No.15 / 2014
    Hong Kong’s Growth Synchronisation with China and the U.S.: A Trend and Cycle Analysis
    by  Dong He, Wei Liao and Tommy Wu
    (Published in Journal of Asian Economics, Volume 40, pages 10-28, October 2015
    WP No.13 / 2014
    Interactions between CNY and CNH Money and Forward Exchange Markets
    by  David Leung and John Fu
    WP No.11 / 2014
    How Strong are the Linkages between Real Estate and Other Sectors in China?
    by  Wenlang Zhang, Gaofeng Han and Steven Chan
    WP No.10 / 2014
    One Currency, Two Markets: The Renminbi’s Growing Influence in Asia-Pacific
    by  Chang Shu, Dong He and Xiaoqiang Cheng
    WP No.08 / 2014
    Invoicing Currency in International Trade: An Empirical Investigation and Some Implications for the Renminbi
    by  Edwin LAI (Research Fellow) and Xiangrong Yu
    (Published in The World Economy, 38(1): 193–229, January 2015)
    WP No.04 / 2014
    Interest Rate Determination in China: Past, Present, and Future
    by  Dong He, Honglin Wang and Xiangrong Yu
    WP No.03 / 2014
    How Does Loan-To-Value Policy Strengthen Banks’ Resilience to Property Price Shocks – Evidence from Hong Kong
    by  Eric Wong, Andrew Tsang and Steven Kong
    (Published in International Real Estate Review, Vol.19(1), (Spring 2016), pages 121-150.)
  • 2013

    WP No.24 / 2013
    Rental Rates under Housing Price Uncertainty: A Real Options Approach
    by  Honglin Wang, Fan Yu and Yinggang ZHOU (Research Fellow)
    WP No.17 / 2013
    Measurement Error and Policy Evaluation in the Frequency Domain
    by  Xiangrong Yu
    (Published in Journal of Macroeconomics, Volume 38, Part B, December 2013, Pages 307-329.)
    WP No.16 / 2013
    Monetary Policy and Bank Lending in China — Evidence from Loan-Level Data
    by  Dong He and Honglin Wang
    WP No.15 / 2013
    Transmitting Global Liquidity to East Asia: Policy Rates, Bond Yields, Currencies and Dollar Credit
    by  Dong He and Robert N McCauley
    WP No.13 / 2013
    Safehavenness of Currencies
    by  Alfred Wong and Tom Fong
    (Forthcoming in European Journal of Finance)
    WP No.12 / 2013
    A Model of Chinese Capital Account Liberalisation
    by  Dong He and Paul Luk
    (Forthcoming in Macroeconomic Dynamics)
    WP No.07 / 2013
    How have Labour Market Developments Affected Labour Costs in China?
    by  Wenlang Zhang and Gaofeng Han
    WP No.01 / 2013
    Rental Adjustment and Housing Prices: Evidence from Hong Kong’s Residential Property Market
    by  Honglin Wang, Chu ZHANG (Research Fellow) and Weihang Dai
  • 2012

    WP No.31 / 2012
    What are the Challenges and Problems Facing China’s Outward Portfolio Investment: Evidence from the Qualified Domestic Institutional Investor Scheme
    by  Aidan Yao and Honglin Wang
    WP No.28 / 2012
    A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar
    by  Chi-fai LO (Research Fellow), C. H. Hui, S. W. Chu and T. Fong
    (Published in International Review of Economics and Finance, Vol. 37, (2015), pp. 1–17)
    WP No.24 / 2012
    Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets
    by  Ka-Fai Li, Cho-Hoi Hui and Tsz-Kin Chung
    WP No.17  / 2012
    China’s Outward Direct Investment: Evidence from a New Micro Dataset
    WP No.16 / 2012
    Estimating Option-Implied Correlation between iTraxx Europe Financial and Corporate Sub-Indexes
    by  Cho-hoi Hui, Chi-fai Lo and Chun-sing Lau
    (Published in Journal of Banking and Finance, Vol. 37, (2013), pp. 3694–3703, with a new title "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis")
    WP No.09 / 2012
    How would Capital Account Liberalisation Affect China’s Capital Flows and the Renminbi Real Exchange Rates?
    by  Dong He, Lillian Cheung, Wenlang Zhang and Tommy Wu
    (Published in China & World Economy, 2012, Volume 20, Issue 6, pages 29–54.
    WP No.08  / 2012
    Productivity Growth of the Non-Tradable Sectors in China
    by  Dong He, Wenlang Zhang, Gaofeng Han and Tommy Wu
    (Published in Review of Development Economics, Volume 18, Issue 4, pages 655–666, November 2014. The web appendix for the journal version of this paper can be accessed by the following link:
    WP No.04 / 2012
    The Trade Comovement Puzzle and the Margins of International Trade
    WP No.01 / 2012
    Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach
    by  Matthew S. Yiu and Lu Jin
    (Published in Journal of Asian Economics, Volume 28, October 2013, Pages 115-124, revised version with Prof. Jun Yu)
  • 2011

    WP No.41 / 2011
    The Effect of Capital Flow Management Measures in Five Asian Economies on the Foreign Exchange Market
    by  Matthew S. Yiu
    WP No.40 / 2011
    Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011
    by  Cho-Hoi Hui and Tom Fong
    (Published in International Review of Economics and Finance, Vol. 40, (2015), pp. 174–190, with a new title "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013")
    WP No.34 / 2011
    The Cross-Section of Country News, Decoupling Expectations, and Global Business Cycles
    WP No.33 / 2011
    Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares
    by  Tsz-Kin CHUNG, Ka-Fai LI and Cho-Hoi HUI
    (Published in the Journal of Banking and Finace, Vol. 37, (2013), pp. 1073–1083.)
    WP No.26 / 2011
    The Implementation of Monetary Policy in China: The Interbank Market and Bank Lending
    by  Hongyi Chen, Qianying Chen and Stefan Gerlach
    (Revised version is published in International Finance Review (2013), Vol 14, pp.31-69.)
    WP No.21 / 2011
    Dual-Track Interest Rates and the Conduct of Monetary Policy in China
    by  Dong He and Honglin Wang
    (Published in China Economic Review, Volume 23, Issue 4, December 2012, Pages 928–947)
    WP No.06 / 2011
    Asian Business Cycle Synchronisation
    by  Dong He and Wei Liao
    (Published in Pacific Economic Review, Volume 17, Issue 1, pages 106–135, February 2012.)
    WP No.04 / 2011
    Nowcasting Chinese GDP: Information Content of Economic and Financial Data
    by  Matthew S. Yiu and Kenneth K. Chow
    (Published in China Economic Journal, 2010, Volume 3, Issue 3, Pages 223 – 240)
  • 2010

    WP No.30 / 2010
    A Target-Zone Model with Two Types of Assets
    by  Yue MA (Research Fellow), Shu-ki TSANG (Research Fellow), Matthew S. Yiu and Wai-Yip Alex
    WP No.26 / 2010
    Liquidity Crunch in Late 2008: High-Frequency Differentials between Forward-Implied Funding Costs and Money Market Rates
    by  Matthew S. Yiu, Joseph FUNG (Research Fellow), Lu Jin and Wai-Yip Alex Ho
    WP No.25 / 2010
    The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010
    by  Cho-Hoi Hui and Tsz-Kin Chung
    (Published in the Journal of Banking and Finance, Vol. 35, (2011), pp. 2945–2955. The new title is "Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010")
  • 2009

    WP No.34 / 2009
    Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models
    by  T. C. Wong, C. H. Hui and C. F. Lo
    (Published in The Journal of Risk Model Validation, 3(4), Winter 2009/10: 39-60)
    WP No.26 / 2009
    Lessons for China from Financial Liberalization in Scandinavia
    by  Hongyi Chen, Lars JONUNG (Research Fellow) and Olaf Unteroberdoerster
    (Revised version is forthcoming in Asian Economic Papers, Winter 2014, Vol. 13, No. 1, Pages 1-44)
    WP No.18 / 2009
    Renminbi as an International Currency: Potential and Policy Considerations
    by  Hongyi Chen, Wensheng Peng and Chang Shu
    (Published in Currency Internationalization: Global Experiences and Implications for the Renminbi, 2010, Chapters 5 and 10. Full text is not available for download due to copyright issue. )
    WP No.13 / 2009
    A Factor Analysis of Trade Integration: The Case of Asian and Oceanic Economies
    by  Yin-Wong CHEUNG (Research Fellow), Matthew S. Yiu and Kenneth K. Chow
    (Published in Economie Internationale, 119, (2009), p. 5 - 23)
  • 2008

    WP No.21 / 2008
    Does the DiPasquale-Wheaton Model Explain the House Price Dynamics in China Cities?
    by  Kenneth K. Chow, Matthew S. Yiu, Charles Ka Yui Leung and Dickson C. Tam
    (Published in International Real Estate Review, 2011, Vol. 14 No. 1: 85 – 117. The new title is "House Market in Chinese Cities: Dynamic Modeling, In-Sampling Fitting and Out-of-Sample Forecasting")
    WP No.09 / 2008
    Stability Tests for Heterogeneous Panel Data
    by  Felix Chan, Tommaso Mancini-Griffoli and Laurent L. Pauwels
    WP No.04 / 2008
    Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios
    by  Chi-fai LO (Research Fellow), T. C. Wong, C. H. Hui and M. X. Huang
    (Published in The Journal of Risk Model Validation, Volume 6/Number 3, Fall 2012, page 27-49 with a new title "Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?")