The regime-dependent evolution of credibility : A fresh look at Hong Kong s linked exchange rate system
Blagov, Boris; Funke, Michael (04.09.2013)
Numero
24/2013Julkaisija
Bank of Finland
2013
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072166Tiivistelmä
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. JEL-Classification: E32, F41, C51, C52
Julkaisuhuomautus
Published in Macroeconomic Dynamics, Vol 23, No 6 (2019), pp. 2434-2468