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The US Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High Frequency Data

journal contribution
posted on 2023-05-16, 23:39 authored by Dungey, MH, Goodhart, C, Tambakis, D
The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in Hong Kong equity markets to prevent a speculative double play against their currency board. On 17 August, Russia announced its default on sovereign bonds. This paper demonstrates that the HKMA interventions had a substantial impact on the outcomes for US Treasury markets during this period using a careful analysis of high-frequency bond market data. On this evidence the shocks emanating from Hong Kong provided liquidity to the US Treasury market when it was most needed.

History

Publication title

International Journal of Finance and Economics

Volume

13

Pagination

40-52

ISSN

1076-9307

Department/School

TSBE

Publisher

John Wiley & Sons Ltd

Place of publication

United Kingdom

Rights statement

The definitive published version is available online at: http://interscience.wiley.com

Repository Status

  • Restricted

Socio-economic Objectives

Monetary policy

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