The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data
✍ Scribed by Mardi Dungey; Charles Goodhart; Demosthenes Tambakis
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 178 KB
- Volume
- 13
- Category
- Article
- ISSN
- 1076-9307
- DOI
- 10.1002/ijfe.356
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
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. Copyright © 2007 John Wiley & Sons, Ltd.