Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212779 
Year of Publication: 
2013
Series/Report no.: 
BOFIT Discussion Papers No. 24/2013
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
An estimated Markov-switching DSGE modelling framework that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent credibility of Hong Kong's linked exchange rate system. The model distinguishes two regimes with respect to the time-series properties of the risk premium. Regime-dependent impulse responses to macroeconomic shocks reveal substantial differences in spreads. These findings contribute to efforts at modelling exchange rate regime credibility as a non-linear process with two distinct regimes.
Subjects: 
Markov-switching DSGE models
exchange rate regime credibility
Hong Kong
JEL: 
E32
F41
C51
C52
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-36-3
Document Type: 
Working Paper

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