论可兑换承诺下港元汇率的动态

ERN: International Finance (Topic) Pub Date : 2013-10-10 DOI:10.2139/ssrn.2338322

H. Yee, N. Dokuchaev

{"title":"论可兑换承诺下港元汇率的动态","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":"{\"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}","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

摘要

本文研究了美元/港元汇率在强弱侧可兑换业务分离后，在一定区间内变动的统计性质。我们提出了汇率演化的离散时间马尔可夫模型。该模型考虑了经验汇率分布、相关的过渡概率和历史汇率的波动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

On the Dynamics of the HKD Exchange Rate Under Convertibility Undertakings

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

ERN: International Finance (Topic)

自引率

0.00%

发文量