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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
11

Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack

Chui, Hiu-fai, Sam., 徐曉暉. January 1998 (has links)
published_or_final_version / Business Administration / Master / Master of Business Administration
12

Comparison of hedging effectiveness of short term interest rate: the case of Hong Kong.

January 1997 (has links)
by Kwan Wai Kwong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.1 / Chapter 1. --- INTRODUCTION --- p.2 / Chapter 2. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- Traditional and Working's hedging theory --- p.5 / Chapter 2.2 --- Portfolio theory and hedging --- p.5 / Chapter 2.3 --- Selection of proper statistical estimation model --- p.7 / Chapter 2.4 --- StaTIonarIty of optimal hedge ratio --- p.8 / Chapter 2.5 --- time-varying hedging models --- p.9 / Chapter 3. --- MARKETS AND INSTRUMENTS --- p.13 / Chapter 3.1 --- Exchange Fund Bills --- p.13 / Chapter 3.1.1 --- Rationale --- p.13 / Chapter 3.1.2 --- Status and deployment of funds --- p.14 / Chapter 3.1.3 --- Form of Bills --- p.14 / Chapter 3.1.4 --- Pricing of the Bills --- p.15 / Chapter 3.1.5 --- Development of the secondary market --- p.15 / Chapter 3.1.6 --- Investors --- p.17 / Chapter 3.1.7 --- Reasons for the success of the Bills programme --- p.17 / Chapter 3.2 --- eurodollar futures contract --- p.18 / Chapter 3.3 --- Treasury bill futures contract --- p.19 / Chapter 3.4 --- Comparison between eurodollar and treasury bills futures --- p.20 / Chapter 4. --- RESEARCH METHODOLOGY --- p.22 / Chapter 4.1 --- DATA --- p.22 / Chapter 4.2 --- DEFINITION of hedging effectiveness and comparison criterion --- p.23 / Chapter 4.2.1 --- Definition of hedging effectiveness --- p.23 / Chapter 4.2.2 --- Comparison of ex-ante hedging performance --- p.24 / Chapter 4.3 --- Model description --- p.25 / Chapter 4.3.1 --- Conventional hedging model --- p.25 / Chapter 4.3.2 --- Error correction model (ECM) --- p.28 / Chapter 4.3.2.1 --- Unit root test --- p.29 / Chapter 4.3.2.2 --- Test of cointegration --- p.30 / Chapter 4.3.2.3 --- Construction of the error correction model (ECM) --- p.31 / Chapter 4.3.3 --- Time-varying hedging model --- p.32 / Chapter 4.3.3.1 --- Time-varying conditional hedging theory --- p.32 / Chapter 4.3.3.2 --- Test for the ARCH effect --- p.34 / Chapter 4.3.3.3 --- Bivariate ARCH(q) error correction model --- p.35 / Chapter 4.4 --- out-of-sample forecast --- p.37 / Chapter 4.4.1 --- Rolling samples against expanding sample --- p.37 / Chapter 4.4.2 --- Out-of-sample forecast without transaction cost --- p.37 / Chapter 4.4.3 --- Out-of-sample forecast with transaction cost --- p.39 / Chapter 5. --- DATA SUMMARY --- p.42 / Chapter 5.1 --- Preliminary analysis --- p.42 / Chapter 5.2 --- Unit root analysis --- p.43 / Chapter 5.3 --- Co-integration analysis --- p.44 / Chapter 6. --- EMPIRICAL RESULTS --- p.45 / Chapter 6.1 --- Model estimation --- p.45 / Chapter 6.2 --- Ex-ante hedging effectiveness with no transaction cost --- p.47 / Chapter 6.3 --- Ex-ante hedging effectiveness with transaction cost --- p.49 / Chapter 6.4 --- Summary and discussion on empirical findings --- p.50 / Chapter 6.4.1 --- Hedging superiority between the two futures contracts --- p.50 / Chapter 6.4.2 --- Magnitude of hedging performance --- p.51 / Chapter 6.4.3 --- Hedge ratio estimates --- p.56 / Chapter 6.4.4 --- Hedging effectiveness across investment horizon --- p.57 / Chapter 6.4.5 --- Model superiority --- p.57 / Chapter 7. --- CONCLUSION --- p.59 / APPENDIX --- p.84 / Chapter I) --- derivation of optimal hedge ratio under static hedging strategies --- p.84 / Chapter II) --- Derivation of optimal hedge ratios under dynamic hedging strategies --- p.85 / Chapter III) --- Causality test on the lead lag relationship between HKEFB and the two futures contracts --- p.87 / REFERENCES --- p.89
13

Does the short-term interest rate matter in China?: evidence from a structural VAR study.

January 2010 (has links)
Ye, Guofeng. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 33-34). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / Chapter 1 --- INTRODUCTION --- p.5 / Chapter 2 --- LITERATURE REVIEW ON MONETARY TRANSMISSION MECHANISM …… --- p.8 / Chapter 3 --- THE EFFECT OF SHORT-TERM INTEREST RATE ON THE ECONOMY …… --- p.13 / Chapter 4 --- METHODOLOGY --- p.16 / Chapter 4.1 --- The Structural Vector Autoregressive Model --- p.16 / Chapter 4.2 --- The Error Correction Model --- p.18 / Chapter 4.3 --- The Alternative Model --- p.19 / Chapter 5 --- DATA --- p.20 / Chapter 5.1 --- Data Description --- p.20 / Chapter 5.2 --- Data Source --- p.20 / Chapter 6 --- EMPIRICAL RESULTS --- p.21 / Chapter 6.1 --- The Structural Vector Autoregressive Model --- p.21 / Chapter 6.2 --- The Error Correction Model --- p.28 / Chapter 6.3 --- The Alternative Model --- p.30 / REFERENCES --- p.33 / APPENDIX --- p.35 / Table 1 --- p.35 / Table 2 (SVAR: 1-3 years) --- p.36 / Table 3 (SVAR: 3-5 years) --- p.37 / Table 4 (SVAR: 5-7 years) --- p.38 / Table 5 --- p.39 / Table 6 (Error Correction Model: 1-3 years) --- p.40 / Table 7 (Error Correction Model: 3-5 years) --- p.41 / Table 8 (Error Correction Model: 5-7 years) --- p.42 / Table 9 --- p.43 / Table 10 (Money Supply: M0) --- p.44 / Table 11 (Money Supply: M 1) --- p.46 / Table 12 (Money Supply: M2) --- p.48
14

An empirical study of the Hong Kong money market: term structure, term preimum and uncovered interestparity

Wan, Wai-choi, Benny., 溫偉才. January 1991 (has links)
published_or_final_version / Economics / Master / Master of Social Sciences
15

Interest rate risk management of publicly funded utility companies in Hong Kong.

January 1992 (has links)
by Lam Kang Hung, Roger. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 63). / Abstract --- p.ii / Table of Contents --- p.iii / List of Tables --- p.v / List of Figures --- p.vi / Acknowledgements --- p.vii / Chapter Chapter I --- --- Introduction --- p.1 / Scope --- p.1-2 / Chapter Chapter II--- --- Methodology --- p.3 / Chapter Chapter III--- --- What Is Risk Management --- p.4 / Chapter Chapter IV --- --- What Is Interest Risk Management --- p.5 / Chapter Chapter V --- --- Importance Of Interest Rate Risk Management --- p.7 / Chapter Chapter VI --- --- Techniques Used In Interest Rate Risk Management --- p.10 / Gap Analysis --- p.10 / Limitations --- p.12 / Duration Analysis --- p.13 / Limitations --- p.15 / Simulation Analysis --- p.16 / Limitations --- p.17 / Chapter Chapter VII --- --- Treasury Tools Available --- p.18 / Interest Rate Swap --- p.18 / Futures Markets --- p.22 / Forward Rate Agreements --- p.25 / Options Markets --- p.27 / Exchange Traded Versus Over The Counter Options --- p.31 / Interest Rate Cap --- p.32 / Interest Rate Floor --- p.34 / Interest Rate Collar --- p.35 / Interest Rate Swaptions --- p.38 / Synthetic Products --- p.38 / Chapter 1. --- Asset Swaps --- p.38 / Chapter 2. --- Equity Swaps --- p.39 / Chapter Chapter VIII --- --- Hedging Strategies --- p.40 / Strategy 1: Remain Unhedged --- p.40 / Strategy 2: Interest Rate Swaps --- p.40 / Strategy 3: Interest Rate Caps --- p.41 / Strategy 4: Interest Rate Collars --- p.41 / Strategy 5: Interest Rate Swaptions --- p.41 / Chapter Chapter IX --- --- Risk Management In M.T.R. and K.C.R --- p.45 / Mass Transit Railway Corporation --- p.45 / Background --- p.45 / Financial Strategy --- p.47 / Debt Management --- p.47 / Techniques Employed --- p.49 / Kowloon-Canton Railway Corporation --- p.51 / Principal Activities --- p.51 / Financial Management --- p.52 / Chapter Chapter X --- --- Concluding Remarks --- p.54 / Appendices / Chapter Appendix I --- Selected Financial Information of M.T.R --- p.57 / Chapter Appendix II --- Selected .Financial Information of K.C.R.C --- p.58 / Chapter Appendix III --- Interest Rate --- p.59 / Chapter Appendix IV --- Capital Market Instruments Employed By MTRC --- p.60 / Bibliography --- p.62
16

Exchange rate, inflation rate and interest rate: theories and their applications to Hong Kong economy.

January 1992 (has links)
Lam Man Kin, Wong Yim Pan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / ACKNOWLEDGEMENTS --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- A BRIEF REVIEW OF THE MODELS FOR FOREIGN EXCHANGE DETERMINATION --- p.6 / Purchasing Power Parity --- p.6 / Flexible Price Monetary Model --- p.9 / Sticky Price Monetary Model -Exchange Rate Dynamics --- p.11 / Portfolio Balance Approach --- p.14 / Insights --- p.16 / Chapter III. --- THE LINKED EXCHANGE RATE SYSTEM --- p.18 / A Brief Historical Account --- p.18 / The Linked Exchange Rate System and Interest Rate --- p.19 / The Linked Exchange Rate System and Inflation Rate --- p.21 / The Pattern of Interest Rate Since Oct. 1983 --- p.22 / "The Pattern of Inflation Rate Since Oct., 1983" --- p.23 / "The Change of Real Exchange Rate Since Oct.,1983" --- p.23 / Chapter VI. --- METHODOLOGIES FOR THE EMPIRICAL STUDIES --- p.31 / The Data --- p.31 / Statistical Techniques --- p.32 / Models to be studied --- p.32 / Absolute PPP --- p.32 / Relative PPP --- p.33 / Augmented PPP Model --- p.34 / Hong Kong Inflation and US Inflation --- p.35 / Hong Kong Interest Rate and US Interest Rate --- p.36 / Interest Rate and Inflation Rate of Hong Kong --- p.36 / Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.38 / PPP Model --- p.38 / Absolute PPP --- p.38 / Relationship between Exchange Rate and Price Levels --- p.43 / Relative PPP --- p.43 / Inflations of Hong Kong and the US --- p.45 / Percentage change of exchange rate and inflation --- p.46 / Augmented PPP Model: Incorporate Interest Rates in PPP Model --- p.47 / Absolute PPP --- p.47 / Interest Rates and Short Term Fluctuation of Exchange Rate --- p.48 / Relative PPP --- p.49 / Interest Rates and the Percentage Change of Exchange Rate --- p.51 / Hong Kong Inflation and US Inflation --- p.51 / The Divergence of Two Inflation Rates --- p.52 / Hong Kong Interest Rate and US Interest Rate --- p.53 / Hong Kong Inflation and Hong Kong Interest Rates --- p.55 / Chapter VI. --- CONCLUSION --- p.57 / Limitations --- p.59 / APPENDIX / I --- p.61 / II --- p.67 / BIBLIOGRAPHY --- p.78

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