It is well documented in literature that funding condition has been subject to the undue influence of distorted incentives of banks to lend and borrow at quarter ends under Basel III. We investigate whether or not funding risk possibly also suffers the same. Using a state space model, we find...

This study assesses the ‘safehavenness' of a number of currencies with a view to providing a better understanding of how capital flows tend to react to sharp increases in global risk aversion during periods of financial crisis. It focuses on how currencies are perceived by dollar-based...

This paper examines the potential impact of US monetary normalisation on sovereign bond yields in Asia Pacific. We apply the quantile vector autoregressive model with principal component analysis to the assessment of tail risk of sovereign debt, which may not be detectable using traditional...

Market sentiments influence the dynamics of Hong Kong’s macro-critical property market, but the unobservable nature of market sentiments makes it difficult to assess systemically this sentiment channel. Using text-mining techniques, this paper sets up a news-based property market sentiment...

The growing reliance on exchange-traded funds (ETFs), especially those that can be redeemed for cash (i.e., cash-redeemable ETFs), has raised concerns about their resilience to a market downturn. This study shows that abrupt redemption of cash-redeemable ETFs may occur during a market downturn....

We analysed the interactions between the RMB deliverable forward markets in Mainland China and Hong Kong. In order to broaden our perspective, we reference this to the Eurodollar market from the late 1950s to early 1980s. Our findings suggest that onshore regulations, notably the Regulation Q...

We study the forces driving dollar funding stress under adverse market conditions for EMEAP economies. We find that the response of dollar funding conditions to changes in macro-financial variables differs significantly between orderly and turbulent markets. In orderly markets, idiosyncratic...

Sadly, not much. This paper provides a theoretical and empirical analysis of the greenium, the price premium the investor pays for green bonds over conventional bonds. We explain in simple economic terms why the price premium of a green bond essentially represents a combination of the...