Alfred Wong

Hong Kong Monetary Authority

3 Garden Road, 30th Floor

Hong Kong

Hong Kong

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 31,306

SSRN RANKINGS

Top 31,306

in Total Papers Downloads

1,853

SSRN CITATIONS
Rank 24,265

SSRN RANKINGS

Top 24,265

in Total Papers Citations

9

CROSSREF CITATIONS

30

Scholarly Papers (15)

1.

Impact of Financial Liberalisation on Stock Market Liquidity: Experience of China

Hong Kong Monetary Authority Working Paper No. 03/2009
Number of pages: 22 Posted: 11 Feb 2009
Jess Lee and Alfred Wong
Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 319 (114,487)
Citation 4

Abstract:

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Financial liberalisation, liquidity, dual-listed stocks, stock exchanges, fixed-effect panel regression

Breakdown of Covered Interest Parity: Mystery or Myth?

Number of pages: 55 Posted: 22 Mar 2018 Last Revised: 08 Nov 2018
Alfred Wong and Jiayue Zhang
Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 183 (197,546)

Abstract:

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Covered Interest Parity, FX Swap, Cross-Currency Basis Swap, Basis Spread, CIP Deviation, Libor-OIS Spread, Counterparty Credit Risk, Funding Liquidity Risk

Breakdown of Covered Interest Parity: Mystery or Myth?

BIS Paper No. 96d
Number of pages: 22 Posted: 06 Apr 2018
Alfred Wong and Jiayue Zhang
Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 65 (411,330)

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covered interest parity, FX swap, cross-currency basis swap, basis spread, CIP deviation, Libor-OIS spread, counterparty credit risk, funding liquidity risk

Breakdown of Covered Interest Parity: Mystery or Myth?

Number of pages: 50 Posted: 27 Nov 2017
Alfred Wong and Jiayue Zhang
Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 56 (443,654)
Citation 4

Abstract:

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covered interest parity, FX swap, cross-currency basis swap, basis spread, CIP deviation, Libor-OIS spread, counterparty credit risk, funding liquidity risk

3.

The Link between FX Swaps and Currency Strength during the Credit Crisis of 2007-2008

Number of pages: 11 Posted: 10 Feb 2009
University of Geneva - Graduate Institute of International Studies (HEI), Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and IHS Markit
Downloads 292 (125,766)
Citation 12

Abstract:

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FX swaps, covered interest parity, counterparty risk

4.

Share Price Disparity in Chinese Stock Markets

Number of pages: 25 Posted: 27 Sep 2007
Tom Fong, Alfred Wong and Ivy Yong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 284 (129,574)
Citation 6

Abstract:

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Price disparity, Chinese stock markets, Panel data analysis

5.

Risk-Adjusted Covered Interest Parity: Theory and Evidence

Number of pages: 25 Posted: 06 Sep 2016 Last Revised: 13 Mar 2017
Alfred Wong, David Leung and Calvin Ng
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 204 (179,075)
Citation 8

Abstract:

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covered interest parity, CIP deviation, forward rate, exchange rate, Libor-OIS spread, counterparty credit risk, liquidity funding risk, FX swap

6.

The Economics of the Greenium: How Much Is the World Willing to Pay to Save the Earth?

HKIMR Working Paper No. 09/2020
Number of pages: 38 Posted: 16 Jun 2020
Angela Sze, Wilson Wan and Alfred Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 129 (263,513)

Abstract:

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7.

Gauging the Safehavenness of Currencies

HKIMR Working Paper No.13/2013 (revised version: October 2016)
Number of pages: 63 Posted: 25 Sep 2013 Last Revised: 29 Mar 2017
Alfred Wong and Tom Fong
Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 74 (378,830)
Citation 2

Abstract:

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Safe Haven Currency, Risk Reversal, Quantile Regression, Mixture Vector Autoregressive Models, Tail Risk, Crash Risk

8.

The Rise of Hong Kong's Corporate Bond Market: Drivers and Implications

BIS Paper No. 83i
Number of pages: 16 Posted: 24 Nov 2015
David Leung, Ceara Hui, Tom Fong and Alfred Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 67 (399,730)

Abstract:

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Corporate bond market, Hong Kong SAR, financial intermediation, corporate leverage, bank-based financing, market-based financing

9.

The Limit of Evil: Effects of Inflation and Public Debt on Capital Market Development

Hong Kong Monetary Authority Research Memorandum, 2019, 02
Number of pages: 15 Posted: 14 Feb 2019
David Leung, Wenzhe Li, Alfred Wong and Jiayue Zhang
Hong Kong Monetary Authority, Tsinghua University, PBC School of Finance, Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 49 (463,392)
Citation 1

Abstract:

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10.

How Might Sovereign Bond Yields in Asia Pacific React to US Monetary Normalisation Under Turbulent Market Conditions?

HKIMR Working Paper No.13/2015
Number of pages: 22 Posted: 12 May 2015
Tom Fong, Ceara Hui and Alfred Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 38 (511,245)
Citation 6

Abstract:

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Sovereign Credit Risk, Tail Risk, Value-at-Risk, Quantile Regression, Vector Autoregression, Impulse Response Function, Principal Components

11.

Interpreting Survey-Based Federal Funds Rate Forecasts: How Accurate Are They in Reflecting Market Expectations?

Number of pages: 25 Posted: 17 Apr 2019
Max Kwong, David Leung, Alfred Wong and Jiayue Zhang
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 35 (525,854)

Abstract:

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Fed Funds Rate, Monetary Policy Expectation

12.

Impacts of Benchmark-Driven Investment on Volatility and Connectivity of Emerging Market Capital Flows

Number of pages: 25 Posted: 06 Apr 2020
Peter Lau, Angela Sze and Alfred Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 19 (622,092)

Abstract:

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13.

Sensitivity of Emerging Market Bond Fund Flows to US Monetary Stance and Global Risk Aversion

Hong Kong Monetary Authority, Research Memorandum 01/2018
Number of pages: 19 Posted: 17 May 2019
David Leung, Jiayue Zhang and Alfred Wong
Hong Kong Monetary Authority, Brown University - Department of Economics and Hong Kong Monetary Authority
Downloads 19 (622,092)

Abstract:

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Fund Flow, Emerging Markets, Bond Market, Risk Aversion

14.

Risk of Window Dressing: Quarter-End Spikes in the Japanese Yen Libor-OIS Spread

HKIMR Working Paper No.15/2019, November 2019
Number of pages: 25 Posted: 09 Dec 2019
Mayu Kikuchi, Alfred Wong and Jiayue Zhang
Wellesley College, Hong Kong Monetary Authority and Brown University - Department of Economics
Downloads 13 (664,796)

Abstract:

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Libor-OIS Spread, Negative Interest Rate, Liquidity Risk, Basel III

15.

What Drives Dollar Funding Stress in Distress?

HKIMR Working Paper No.20/2020
Number of pages: 31 Posted: 03 Mar 2021
Tang Yuewen and Alfred Wong
affiliation not provided to SSRN and Hong Kong Monetary Authority
Downloads 7 (709,824)

Abstract:

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