Ka-Fai Li

Hong Kong Monetary Authority

55/F 2 IFC, 8 Finance Street

Central

Hong Kong

Hong Kong

SCHOLARLY PAPERS

12

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1,449

CITATIONS
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Top 9,020

in Total Papers Citations

61

Scholarly Papers (12)

1.

Loan-to-Value Ratio as a Macroprudential Tool - Hong Kong's Experience and Cross-Country Evidence

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 37 Posted: 25 Feb 2011
T. C. Wong, Tom Fong, Ka-Fai Li and Henry Choi
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 832 (27,803)
Citation 52

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Systemic risk, macroprudential policy, loan-to-value ratio, Hong Kong

2.

An Assessment of the Long-Term Economic Impact of the New Regulatory Reform on Hong Kong

Hong Kong Monetary Authority Research Note No. 05/2010
Number of pages: 15 Posted: 27 Feb 2011
T. C. Wong, Tom Fong, Ka-Fai Li and Henry Choi
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 177 (167,520)
Citation 4

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Basel, banking crisis, Hong Kong

3.

Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares

Journal of Banking and Finance , Vol. 37, (2013), pp. 1073-1083
Number of pages: 11 Posted: 26 Oct 2011 Last Revised: 22 Apr 2013
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 86 (288,325)
Citation 6

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Market Segmentation, A and H Shares, Uncertainty

4.

Measuring Spillovers between the US and Emerging Markets

HKIMR Working Paper No.08/2016
Number of pages: 26 Posted: 20 Jun 2016
Tom Fong, Ka-Fai Li and Angela Sze
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Independent
Downloads 73 (317,681)

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spillovers, contagion, systemic risk, financial integration, vector autoregression, emerging markets, monetary policy normalisation, sovereign bond markets.

5.

Accounting for Sovereign Tail Risk in Emerging Economies: The Role of Global and Domestic Risk Factors

HKIMR Working Paper No. 24/2015
Number of pages: 30 Posted: 07 Dec 2015
Tom Fong, Ka-Fai Li and John Fu
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 53 (373,451)
Citation 1

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Sovereign risk; tail risk; CDS spread; emerging markets; US monetary policy

6.

Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Forward Term Premium

Finance Research Letters, Vol. 21: 100-106 (2017)
Number of pages: 7 Posted: 03 Nov 2015 Last Revised: 12 Feb 2018
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 48 (390,105)
Citation 1

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term premium; zero lower bound; quadratic Gaussian term-structure model; Bayesian MCMC

7.

Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong

HKIMR Working Paper No. 03/2015
Number of pages: 32 Posted: 29 Jan 2015
Kelvin Ho, Cho-Hoi Hui, Ka-Fai Li and Jim Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 41 (415,049)
Citation 1

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Bank Leverage, Global Banks’ Subsidiaries, Speed of Adjustment, Global Liquidity, Trade-Off Theory

8.

Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model

HKIMR Working Paper No.19/2014
Number of pages: 30 Posted: 08 Aug 2014
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 41 (415,049)
Citation 2

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Forward Guidance, Zero Lower Bound, Non-Gaussian Term-Structure Model

9.

Tail Risk Spillover in Asia Pacific Stock Market

Number of pages: 19 Posted: 24 Oct 2017
Tom Fong, Ka-Fai Li and Edmund Ho
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 35 (439,118)

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Spillovers; tail risk; vector autoregression; emerging markets

10.

Implications of Loan Portfolio Concentration for Banks’ Credit Risk and Return: Evidence from Hong Kong

HKIMR Working Paper No.24/2018
Number of pages: 21 Posted: 04 Nov 2018
Kelvin Ho, Ka-Fai Li and Edward Tan
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 24 (492,214)

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Banks, concentration, specialisation gains, bank risk, bank return

11.

Term Premium Spillovers from the US to International Markets

HKIMR Working Paper No. 07/2017
Number of pages: 22 Posted: 29 Mar 2017
Ka-Fai Li, Tom Fong and Edmund Ho
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 22 (503,380)

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Spillovers, term premium, financial integration, vector autoregression, emerging markets, affine term structure model, sovereign bond markets

12.

Exchange Rate Dynamics Under a Currency Board When Policy Rates are Zero

HKIMR Working Paper No. 21/2017
Number of pages: 20 Posted: 20 Sep 2017
Cho-Hoi Hui, Ka-Fai Li and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and The Chinese University of Hong Kong
Downloads 17 (532,230)

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Target zone model, currency board, Hong Kong dollar