{"title":"On the Dynamics of the HKD Exchange Rate Under Convertibility Undertakings","authors":"H. Yee, N. Dokuchaev","doi":"10.2139/ssrn.2338322","DOIUrl":null,"url":null,"abstract":"The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate evolution. This model accommodates the empirical exchange rate distribution, associated transition probabilities, and the volatility of the historical exchange rate.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: International Finance (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2338322","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate evolution. This model accommodates the empirical exchange rate distribution, associated transition probabilities, and the volatility of the historical exchange rate.
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