Given that the value of China's currency has been hot topic recently, this paper explores the equilibrium levels of China's real and nominal exchange rates. Employing a Johansen cointegration framework, we focus on the behavioral equilibrium exchange rate (BEER) and permanent equilibrium...

This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...

Banking reform has proved to be one of the most problematic elements of economic transition in central and Eastern Europe. Therefore the paper considers the development of the Estonian banking sector and derives individual banks' fragility scores during transition. To this end we use...

This report identifies a set of policy lessons for China today drawn from the experience of financial deregulation, financial crisis, and recovery in Scandinavia during the period 1985–2000. Although there are considerable differences between the huge Chinese economy and the small Nordic...

The potential of the renminbi as an international currency is underpinned by the large and fast growing Chinese economy. We present empirical evidence indicating that the renminbi has already become a significant force impacting the exchange rates of the Asian currencies. We also estimate a...

This report identifies a set of policy lessons for China today drawn from the experience of financial deregulation, financial crisis and recovery in Scandinavia during the period 1985-2000. Although there are considerable differences between the huge Chinese economy and the small Nordic...

Forward exchange rates convey information about the risk premiums of the currency exposures of the investors. The extraction of these risk premiums provides market information for the expected future values of a currency, which may be useful for policymakers in their market surveillance and...

Taking large open positions in the Hang Seng Index (HSI) futures formed part of the strategy of speculators in the 1998 episode of "speculative attacks" on the Hong Kong dollar and stock markets. The open interest in the HSI futures market has risen in the past three years, at one point to a...

The earnings-price ratio (E/P ratio) of the Hang Seng Index (HSI) and the spreads between the E/P ratio and interest rates are widely used by market practitioners to forecast the stock market outlook. This paper studies their usefulness as indicators of future Hong Kong stock market conditions....