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62.4628

Working Papers

Working Papers provide detailed and comprehensive analysis of policy issues relevant to monetary and financial stability in Hong Kong and the Asia-Pacific region. Prior to 2007 HKMA Working Papers were called Research Memorandums. The views and analysis expressed in the papers are those of the authors, and do not necessarily reflect the views of the HKMA.

In September 2011 this series was merged into the working paper series of the Hong Kong Institute for Monetary Research.

By Year
Research Memorandums - 2006
How Efficient Has Been China's Investment? Empirical Evidence from National and Provincial Data
Dong He, Wenlang Zhang and Jimmy Shek
November 2006
Full Paper (PDF File, 727KB)
(Issue date: 8-12-2006)
Hong Kong's Trade Patterns and Trade Elasticities
Li-gang Liu, Kelvin Fan and Jimmy Shek
November 2006
Full Paper (PDF File, 320KB)
(Issue date: 7-12-2006)
Determinants of Foreign Direct Investment in East Asia: Did China Crowd Out FDI from Her Developing East Asian Neighbours
Li-gang Liu, Kevin Chow and Unias Li
November 2006
Full Paper (PDF File, 253KB)
(Issue date: 7-12-2006)
Competition in Hong Kong's Banking Sector: A Panzar-Rosse Assessment
Jim Wong, Eric Wong, Tom Fong and Ka-fai Choi
October 2006
Full Paper (PDF File, 419KB)
(Issue date: 27-10-2006)
A Framework for Stress Testing Bank's Credit Risk
Jim Wong, Ka-fai Choi, and Tom Fong
October 2006
Full Paper (PDF File, 332KB)
(Issue date: 19-10-2006)
Structural Determinants of Hong Kong's Current Account Surplus
Frank Leung
October 2006
Full Paper (PDF File, 208KB)
(Issue date: 11-10-2006)
The Cost Efficiency of Commercial Banks in Hong Kong
Jim Wong, Tom Fong, Eric Wong and Ka-fai Choi
September 2006
Full Paper (PDF File, 189KB)
(Issue date: 5-10-2006)
Outward Portfolio Investment From Mainland China: How Much Do We Expect And How Large a Share Can Hong Kong Expect to Capture?
Lillian Cheung, Kevin Chow, Jian Chang and Unias Li
September 2006
Full Paper (PDF File, 335KB)
(Issue date: 29-9-2006)
Hong Kong's Economic Integration and Business Cycle Synchronisation with Mainland China and the US
Hans Genberg, Li-gang Liu and Xiangrong Jin
September 2006
Full Paper (PDF File, 285KB)
(Issue date: 21-9-2006)
Cross-Border Fund Flows and Hong Kong Banks' External Transactions vis-à-vis Mainland China
Joanna Shi and Andrew Tsang
June 2006
Full Paper (PDF File, 106KB)
(Issue date: 7-9-2006)
An Approach to Measuring Provisions for Collateralised Lending
Cho-hoi Hui and Tom Fong
June 2006
Full Paper (PDF File, 204KB)
(Issue date: 4-7-2006)
Assessing the Risk of Multiple Defaults in the Banking System
Ip-wing Yu, Laurence Fung and Chi-sang Tam
June 2006
Full Paper (PDF File, 300KB)
(Issue date: 30-6-2006)
Currency Barrier Option Pricing with Mean Reversion
Cho-hoi Hui
June 2006
Full Paper (PDF File, 160KB)
(Issue date: 16-6-2006)
The paper was published in Journal of Futures Markets, Vol. 26, No. 10, (2006), page 939-958
Forecasting the Non-Rental Component of Hong Kong's CCPI Inflation - an Indicator Approach
Li-gang Liu, Jian Chang and Andrew Tsang
May 2006
Full Paper (PDF File, 281KB)
(Issue date: 6-6-2006)
Estimating Demand for Narrow Money and Broad Money
Daryl Ho, Jimmy Shek, Andrew Tsang
February 2006
Full Paper (PDF File, 180KB)
(Issue date: 23-5-2006)
Measuring Provisions for Collateralised Retail Lending
Cho-hoi Hui
February 2006
Full Paper (PDF File, 314KB)
(Issue date: 10-4-2006)
The paper was published in Journal of Economics and Business, Vol. 58, Issue 4, (2006), page 343-361.
Research Memorandums - 2005
The Macroeconomic Impact on Hong Kong of Hypothetical Mainland Shocks
Dong He, Chang Shu, Raymond Yip and Wendy Cheng
February 2006
Full Paper (PDF File, 281KB)
(Issue date: 24-2-2006)
The Property Market and the Macroeconomy of the Mainland: A Cross Region Study
Wensheng Peng, Matthew Yiu and Dickson Tam
August 2005
Full Paper (PDF File, 154KB)
(Issue date: 9-12-2005)
The Composite Interest Rate of Hong Kong - A New Data Series
Market Research Division
December 2005
Full Paper (PDF File, 45KB)
(Issue date: 8-12-2005)
A Structural Approach to Assessing the Credit Risk of Hong Kong's Corporate Sector
Ip-wing Yu and Laurence Fung
December 2005
Full Paper (PDF File, 127KB)
(Issue date: 8-12-2005)
Adjusting For The Chinese New Year: An Operational Approach
Chang Shu and Andrew Tsang
November 2005
Full Paper (PDF File, 344KB)
(Issue date: 17-11-2005)
Exchange Rate Risk Premiums In Hong Kong Dollar: A Signal-Extraction Approach
Ip-wing Yu, Laurence Fung and Chen Hongyi
November 2005
Full Paper (PDF File, 209KB)
(Issue date: 10-11-2005)
Determinants of the Capital Level of Banks in Hong Kong
Jim Wong, Ka-fai Choi and Tom Fong
September 2005
Full Paper (PDF File, 172KB)
(Issue date: 22-9-2005)
A short version of the paper published in the HKMA Quarterly Bulletin September 2005 issue
How Useful are the E/P Ratio and the Spreads between the E/P Ratio and Interest Rates in Forecasting Hong Kong Stock Market Conditions?
Hongyi Chen
August 2005
Full Paper (PDF File, 91KB)
(Issue date: 26-9-2005)
Hong Kong Mortgage Rate Setting - An Alternative Reference Rate?
Jim Wong, Cho-hoi Hui and Laurence Fung
August 2005
Full Paper (PDF File, 289KB)
(Issue date: 17-8-2005)
The Relationship between Commodity and Consumer Prices in Mainland China and Hong Kong
Joanne Cutler, Carrie Chan and Unias Li
May 2005
Full Paper (PDF File, 133KB)
(Issue date: 16-8-2005)
A short version of the paper published in the HKMA Quarterly Bulletin June 2005 issue

Monetary Management in Mainland China in the Face of Large Capital Inflows
Dong He, Carmen Chu, Chang Shu and Amy Wong
April 2005
Full Paper (PDF File, 336KB)
(Issue date: 29-4-2005)
Money and Inflation in China
Stefan Gerlach and Janet Kong
March 2005
Full Paper (PDF File, 129KB)
(Issue date: 16-8-2005)
Interest Rate Risk in the Pricing Of Banks' Mortgage Lending
Jim Wong, Laurence Fung, Tom Fong and Cho-hoi Hui
March 2005
Full Paper (PDF File, 147KB)
(Issue date: 20-4-2005)
Benchmarking Model of Default Probabilities of Listed Companies
Cho-hoi Hui
March 2005
Full Paper (PDF File, 255KB)
(Issue date: 31-3-2005)
The paper was published in Journal of Fixed Income, Vol. 15, Number 2, (2005), pages 76-86
Are Corporates' Target Leverage Ratios Time-Dependent?
Cho-hoi Hui
February 2005
Full Paper (PDF File, 479KB)
(Issue date: 24-2-2005)
The paper was published in International Review of Financial Analysis , Vol. 15, Issue 3, (2006), pages 220-236.
Hang Seng Index Futures Open Interest and its Relationship with the Cash Market
Hongyi Chen, Laurence Fung and Jim Wong
February 2005
Full Paper (PDF File, 664KB)
(Revised date: 3-3-2005)

Full Paper (PDF File, 369KB)
(Issue date: 17-2-2005)
A Monetary Conditions Index for Mainland China
Wensheng Peng and Frank Leung
January 2005
Full Paper (PDF File, 146KB)
(Issue date: 16-8-2005)
A short version of the paper published in the HKMA Quarterly Bulletin June 2005 issue
Research Memorandums - 2004
Revised Small Forecasting Model for Hong Kong
Janet Kong and Cynthia Leung
December 2004
Full Paper (PDF File, 203KB)
(Issue date: 9-7-2007)
Residential Mortgage Default Risk in Hong Kong
Jim Wong, Laurence Fung, Tom Fong and Angela Sze
November 2004
Full Paper (PDF File, 355KB)
(Issue date: 28-12-2004)
A short version of the paper published in the HKMA Quarterly Bulletin December 2004 issue
Key Price Indicators And Inflation In Hong Kong
Wensheng Peng and Kelvin Fan
November 2004
Full Paper (PDF File, 164KB)
(Issue date: 18-11-2004)
Intra-Regional Trade and the Role of Mainland China
Joanne Cutler, Kevin Chow, Carrie Chan and Unias Li
Dec 2004
Published in the HKMA Quarterly Bulletin December 2004 issue. (PDF File, 282KB)
Macroeconomic Conditions and Banking Performance in Hong Kong: A Panel Data Study
Stefan Gerlach, Wensheng Peng and Chang Shu
April 2004
Full Paper (PDF File, 217KB)
(Issue date: 30-7-2004)
Demand for cash around Chinese New Year
Joanna Shi
June 2004
Published in the HKMA Quarterly Bulletin June 2004 issue. (PDF File, 282KB)
Alternative Measures of Core Inflation on the Mainland
Chang Shu and Andrew Tsang
May 2004
Full Paper (PDF File, 238KB)
(Issue date: 21-5-2004)
Banking Sector Competition in Hong Kong - Measurement and Evolution Over Time
Guorong Jiang (Representative Office for Asia and the Pacific Bank for International Settlements),
Jim Wong, Nancy Tang and Angela Sze (HKMA Research Department)
April 2004
Full Paper (PDF File, 212KB)
(Issue date: 14-5-2004)
A Simple Measure of Underlying Inflation: Estimates for Hong Kong and The Mainland
Stefan Gerlach and Matthew Yiu
February 2004
Full Paper (PDF File, 180KB)
(Issue date: 29-4-2004)
Return And Volatility Spillovers In Hong Kong Financial Markets
Laurence Fung and Ip-wing Yu
March 2004
Full Paper (PDF File, 175KB)
(Issue date: 29-3-2004)
Research Memorandums - 2003
Volatility Linkages between Financial Markets in Hong Kong
Laurence Fung and Ip-wing Yu
December 2003
Full Paper (PDF File, 216KB)
(Issue date: 7-1-2004)
Credit Risk Transfers using Derivatives and Implications for Financial Market Functioning
Ada Lee and Eve Law
December 2003
Full Paper (PDF File, 228KB)
(Issue date: 18-12-2003)
An Analysis Of The Financial Health Of Hong Kong Corporations
Ip-wing Yu, Fanny Ho, Eve Law and Laurence Fung
December 2003
Full Paper (PDF File, 261KB)
(Issue date: 18-12-2003)
Understanding Volatility In Hong Kong's Financial Markets
Ip-wing Yu and Laurence Fung
November 2003
Full Paper (PDF File, 554KB)
(Issue date: 28-11-2003)
Determinants of Bank Profitability in Hong Kong
Guorong Jiang, Nancy Tang, Eve Law and Angela Sze
September 2003
Full Paper (PDF File, 237KB)
(Issue date: 15-9-2003)
Factors Influencing the Share of Hong Kong Dollar Deposits in Total Deposits
Kitty Lai and Joanna Shi
September 2003
Published in the HKMA Quarterly Bulletin September 2003 issue. (PDF File, 296KB)
The Causes of Inflation and Deflation in Mainland China
Jiming Ha, Kelvin Fan and Chang Shu
September 2003
Published in the HKMA Quarterly Bulletin September 2003 issue. (PDF File, 284KB)
The Yen Exchange Rate and Net Foreign Assets
Wensheng Peng, Chang Shu and Kevin Chow
May 2003
Full Paper (PDF File, 202KB)
(Issue date: 26-6-2003)
The Impact of Interest Rate Shocks on the Performance of the Banking Sector
Wensheng Peng, Kitty Lai, Frank Leung and Chang Shu
May 2003
Full Paper (PDF File, 221KB)
(Issue date: 12-6-2003)
Testing for Bubbles in the Hong Kong Stock Market
Ip-wing Yu and Angela Sze
April 2003
Full Paper (PDF File, 220KB)
(Issue date: 28-5-2003)
An Analysis of Balance of Payments Developments in 2002
Stefan Gerlach, Wensheng Peng and Joanna Y L Shi
April 2003
Full Paper (PDF File, 199KB)
(Issue date: 28-4-2003)
Research Memorandums - 2002
The Impact of Macroeconomic Environment on the Asset Quality of Hong Kong's Banking Sector
Chang Shu
December 2002
Full Paper (PDF File, 212KB)
(Issue date: 24-12-2002)
Liquidity Of The Hong Kong Stock Market Since The Asian Financial Crisis
Jim Wong, Fanny Ho and Laurence Fung
November 2002
Full Paper (PDF File, 869KB)
(Issue date: 26-11-2002)
The Charge-Off Ratio Of Credit Card Receivables In Hong Kong
Kitty Lai and Joanna Y L Shi
September 2002
Full Paper (PDF File, 181KB)
(Issue date: 2-10-2002)
The Prospect for the US Dollar and Implications for the Hong Kong Economy
Jiming Ha, Kelvin Fan, and Cynthia Leung
July 2002
Full Paper (PDF File, 261KB)
(Issue date: 2-8-2002)
Price Convergence between Hong Kong and the Mainland
Jiming Ha and Kelvin Fan
June 2002
Full Paper (PDF File, 228KB)
(Issue date: 11-7-2002)
Estimation of Zero-Coupon Yield Curves Based on Exchange Fund Bills and Notes in Hong Kong
Ip-wing Yu and Laurence Fung
June 2002
Full Paper (PDF File, 316KB)
(Issue date: 8-7-2002)
Extraction of US Dollar Interest Rate Expectations from Derivative Prices
Ip-wing Yu, Rex Tang and Angela Sze
May 2002
Full Paper (PDF File, 317KB)
(Issue date: 8-7-2002)
The Slowdown of Hong Kong Dollar Broad Money Growth
Kitty Lai and Joanna, Yen Ling Shi
June 2002
Full Paper (PDF File, 167KB)
(Issue date: 26-6-2002)
A Small Macroeconomic Model of Hong Kong
Jiming Ha, Cynthia Leung and Chang Shu
June 2002
Full Paper (PDF File, 284KB)
(Issue date: 26-6-2002)
Information content of Monetary Aggregates: An Application of the P-star Model
Joanna Shi and Kitty Lai
April 2002
Full Paper (PDF File, 65KB)
(Issue date: 3-6-2002)
Macroeconomic Implications of US Interest Rates for Hong Kong
Jiming Ha and Cynthia Leung
May 2002
Full Paper (PDF File, 213KB)
(Issue date: 23-5-2002)
Research Memorandums - 2001
Estimating Hong Kong's Output Gap and Its Impact on Inflation
Jiming Ha and Cynthia Leung
November 2001
Full Paper (PDF File, 169KB)
Hong Kong's External Claims and Liabilities vis-à-vis Mainland China
Joanna Shi
October 2001
Published in the HKMA Quarterly Bulletin February 2002 issue
Electronic Trading in Hong Kong and Its Impact on Market Functioning
Guorong Jiang, Nancy Tang and Eve Law
October 2001
Full Paper (PDF File, 217KB)
Inflation Targeting in Asia
Daryl Ho and Simon Wong
October 2001
Full Paper (PDF File, 199KB)
Measures of Core Inflation in Hong Kong
Kelvin Fan
October 2001
Full Paper (PDF File, 179KB)
Sources of Unemployment: Recent Developments and Prospects
Wensheng Peng, Lillian Cheung and Kelvin Fan
September 2001
Published in the HKMA Quarterly Bulletin November 2001 issue
Cost-Benefit Analysis of Developing the Hong Kong Debt Markets
Guorong Jiang, Nancy Tang and Eve Law
August 2001
Published in the HKMA Quarterly Bulletin November 2001 issue
Impact of the Japanese Slowdown on the Asian Economies
Nicholas Kwan, Daryl Ho and Chang Shu
August 2001
Full Paper (PDF File, 67KB)
Mexico's and Asia's recoveries Compared
Nicholas Kwan and Miranda Cheng
June 2001
Published in the HKMA Quarterly Bulletin August 2001 issue
Interest Rate Spreads
Priscilla Chiu, Kitty Lai, Simon Wong and Frank Leung
March 2001
Full Paper (PDF File, 157KB)
The Property Market and the Macro-Economy
Wensheng Peng, Lillian Cheung, Kelvin Fan and Cynthia Leung
March 2001
Published in the HKMA Quarterly Bulletin May 2001 issue
Domestic Lending
Priscilla Chiu and Kitty Lai
January 2001
Full Paper (PDF File, 77KB)
Last revision date: 5 November 2012
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