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A Note on Modelling Yield Curve Control : A Target-Zone Approach

Hui, Cho H.; Wong, Andrew; Lo, Chi-Fai - 2022

This working paper was written by Cho-Hoi Hui (Hong Kong Monetary Authority), Andrew Wong(Hong Kong Monetary Authority) and Chi-Fai Lo (The Chinese University of Hong Kong).This note uses a target-zone model to study the bond yield movements under yield curve control. The bond yield is assumed...

Persistent link: https://www.econbiz.de/10013492071

Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities

Hui, Cho H.; Chung, Tsz-kin; Lo, Chi-fai - In: Asia-Pacific financial markets 20 (2013) 2, pp. 131-146

Persistent link: https://www.econbiz.de/10009750729

Assessing the effectiveness of date-based forward guidance at the zero lower bound with a non-Gaussian affine term-structure model

Chung, Tsz Kin; Hui, Cho H.; Li, Ka Fai - 2014

Persistent link: https://www.econbiz.de/10011383770

Term-structure modelling at the zero lower bound : implications for estimating the term premium

Chung, Tsz Kin; Hui, Cho H.; Li, Ka Fai - 2015

Persistent link: https://www.econbiz.de/10011384200

Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets

Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017

The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...

Persistent link: https://www.econbiz.de/10011756971