What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?
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Cited by:
- Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
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More about this item
Keywords
Hong Kong dollar interest rates; swap spreads; vector error-correction model; sub-prime crisis;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2008-11-11 (International Finance)
- NEP-MAC-2008-11-11 (Macroeconomics)
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