Swap Curve Dynamics Across Markets - Case of US Dollar vs. HK Dollar

Posted: 8 Mar 2007 Last revised: 12 Sep 2008

See all articles by Ying Sophie Huang

Ying Sophie Huang

Zhejiang University, School of Management

Salih N. Neftci

CUNY Baruch College

Feng Guo

Institute of International Finance

Abstract

This paper investigates the linkage between the USD and HKD swap curves. We argue that these curves contain important information, which is over and above that provided by the sovereign yield curves and the standard measures of market liquidity, Libor-type interest rates. Our work indicates that using sovereign yield curves and concentrating only on the risk premia associated with the breakdown of the currency peg is not sufficient for policy making in Hong Kong. Swap spreads and swap curves should be carefully monitored to evaluate economy wide risks and to conduct macroeconomic policy.

Keywords: swap curve, Hong Kong market

JEL Classification: G15, E43

Suggested Citation

Huang, Ying and Neftci, Salih N. and Guo, Feng, Swap Curve Dynamics Across Markets - Case of US Dollar vs. HK Dollar. Journal of International Financial Markets, Institutions and Money, 2008 (18), No.1, pp79-93, Available at SSRN: https://ssrn.com/abstract=967771

Ying Huang (Contact Author)

Zhejiang University, School of Management ( email )

866 Yuhangtang Road
Hangzhou, Zhejiang 310058
China

Salih N. Neftci

CUNY Baruch College ( email )

17 Lexington Avenue
New York, NY 10021
United States
(212) 817-8261 (Phone)
(212) 817-1514 (Fax)

Feng Guo

Institute of International Finance

1333 H Street NW
Suite 800E
Washington, DC 20005
United States

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