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, 23:39authored byDungey, 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