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The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data


Type

Working Paper

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Authors

Dungey, M 
Goodhart, C 
Tambakis, D 

Abstract

jats:titleAbstract</jats:title>jats:pThe 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. Copyright © 2007 John Wiley & Sons, Ltd.</jats:p>

Description

Keywords

3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services

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Publisher

Wiley
Sponsorship
ESRC Research Programme on World Economy & Finance