IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v9y2019i7p824-835id1840.html
   My bibliography  Save this article

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

Author

Listed:
  • Eric M.T Wong

Abstract

Hong Kong has been part of China now for over twenty years. The economic activities between the two regions are more integrated due to policies for enhancing trade and finance, location convenience and fast economic growth in China. This article examined the economic integration between Hong Kong and China in terms of the volatility spillover effect of four economic indicators, namely real GDP growth rate, inflation rate, M2 supply and the three-month interbank offer rate. We used the Bivariate Multivariate GARCH model. As the USA has been the biggest trade partner of Hong Kong, the economic effect of the USA on Hong Kong was also analyzed. We found that the economic volatility of China significantly spills over to Hong Kong while there is less evidence found for a spillover effect from the USA. As the Hong Kong Dollar is still strictly pegged with the US Dollar, this paper provides evidence for the evaluation of Hong Kong’s monetary policy on the exchange rate system.

Suggested Citation

  • Eric M.T Wong, 2019. "A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(7), pages 824-835.
    • Handle: RePEc:asi:aeafrj:v:9:y:2019:i:7:p:824-835:id:1840
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/1840/2832
    Download Restriction: no
    File URL: https://archive.aessweb.com/index.php/5002/article/view/1840/4134
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hongbing OUYANG & Xiaolu WEI & Qiufeng WU, 2020. "Stock Index Pattern Discovery via Toeplitz Inverse Covariance-based Clustering," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 58-72, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrj:v:9:y:2019:i:7:p:824-835:id:1840. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.