Chang, Kuang Liang and Chen, Nan Kuang and Leung, Charles Ka Yui (2011): In the Shadow of the United States: The International Transmission Effect of Asset Returns.
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We examine how the fluctuations in financial and housing markets in U.S. affect the asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching models indicate that the unexpected shock of US stock returns, followed by the TED spread, has the most significant effect on HK asset returns and GDP, typically in the regime with high return and low volatility. For the in-sample one-step-ahead forecasting, US Term spread stands out to be the best predictor.
|Item Type:||MPRA Paper|
|Original Title:||In the Shadow of the United States: The International Transmission Effect of Asset Returns|
|Keywords:||currency board, fixed nominal exchange rate, international transmission mechanism, hierarchical Markov regime-switching model, vector autoregressive model|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F40 - General
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Charles Ka Yui Leung|
|Date Deposited:||13. Aug 2011 02:30|
|Last Modified:||16. Feb 2013 03:36|
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