eCite Digital Repository

The US Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High Frequency Data

Citation

Dungey, MH and Goodhart, C and Tambakis, D, The US Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High Frequency Data, International Journal of Finance and Economics, 13, (1) pp. 40-52. ISSN 1076-9307 (2008) [Refereed Article]


Preview
PDF
Restricted - Request a copy
171Kb
  

Copyright Statement

The definitive published version is available online at: http://interscience.wiley.com

DOI: doi:10.1002/ijfe.356

Abstract

The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in Hong Kong equity markets to prevent a speculative double play against their currency board. On 17 August, Russia announced its default on sovereign bonds. This paper demonstrates that the HKMA interventions had a substantial impact on the outcomes for US Treasury markets during this period using a careful analysis of high-frequency bond market data. On this evidence the shocks emanating from Hong Kong provided liquidity to the US Treasury market when it was most needed.

Item Details

Item Type:Refereed Article
Keywords:Russia; Hong Kong; financial crises; US Treasury market; high-frequency data
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:56986
Year Published:2008
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2010-05-28
Downloads:0

Repository Staff Only: item control page