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| Author: | Cheng, J. W. |
| Title: | The intertemporal behavior of short-term interest rates in Hong Kong |
| Journal: | Journal of Business Finance and Accounting
1996 : SEP, VOL. 23:7, p. 1059-1068 |
| Index terms: | REGRESSION ANALYSIS INTEREST RATES HONG KONG |
| Language: | eng |
| Abstract: | This paper examines the intertemporal behavior of the Hong Kong short-term interest rate via a mean-reverting model , Vasicek (1977). Using Goldfeld and Quandt's switching regression method that allows for a gradual switch in the regression parameters, three interest rate regimes are uncovered and parameter estimates are found to be unstable over the sample period, July 1984 to August 1993. Significant mean-reversion occurs over the full sample period as well as for each individual regime. One of the two regime switch points corresponds to the imposition of the New Account Arrangement by the Hong Kong Government in July 1988. |
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