BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 24/2013:
The regime-dependent evolution of credibility: A fresh look at Hong Kong’s linked exchange rate system
Boris Blagov ()
and Michael Funke ()
Abstract: An estimated Markov-switching DSGE modelling framework
that allows for parameter shifts across regimes is employed to test the
hypothesis of regime-dependent credibility of Hong Kong’s linked exchange
rate system. The model distinguishes two regimes with respect to the
time-series properties of the risk premium. Regime-dependent impulse
responses to macroeconomic shocks reveal substantial differences in
spreads. These findings contribute to efforts at modelling exchange rate
regime credibility as a non-linear process with two distinct regimes.
Keywords: Markov-switching DSGE models; exchange rate regime credibility; Hong Kong; (follow links to similar papers)
JEL-Codes: C51; C52; E32; F41; (follow links to similar papers)
34 pages, September 4, 2013
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
dp2413.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Päivi Määttä ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
