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The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data

dc.creatorDungey, Mardi
dc.creatorGoodheart, Charles
dc.creatorTambakis, Demosthenes N
dc.date.accessioned2018-11-24T13:10:37Z
dc.date.available2010-05-19T13:16:34Z
dc.date.available2018-11-24T13:10:37Z
dc.date.issued2005-09
dc.identifierhttp://www.dspace.cam.ac.uk/handle/1810/225156
dc.identifier.urihttp://repository.aust.edu.ng/xmlui/handle/123456789/2807
dc.description.abstractThe second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the 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, both events are shown to intersect the US Treasury market, despite having oroginated from seemingly unrelated shocks. On this eveidence, the shocks emanating from Hong Kong were important for the US Treasury market. The lesson for policy makers is that major markets play an important role in transmitting and absorbing the effects of unrelated shocks.
dc.languageen
dc.publisherCFAP, Cambridge Judge Business School, University of Cambridge
dc.subjectRussia
dc.subjectHong Kong
dc.subjectfinancial crises
dc.subjectUS Treasury market
dc.subjecthigh frequency data
dc.titleThe US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data
dc.typeWorking Paper


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