Ka-Fai Li

Hong Kong Monetary Authority

55/F 2 IFC, 8 Finance Street

Central

Hong Kong

Hong Kong

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 29,570

in Total Papers Downloads

1,211

CITATIONS
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SSRN RANKINGS

Top 45,298

in Total Papers Citations

3

Scholarly Papers (10)

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 379 (32,578)
Citation 2

Abstract:

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 120 (164,209)
Citation 1

Abstract:

Basel, banking crisis, Hong Kong

3.

Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets

HKIMR Working Paper No.24/2012
Number of pages: 25 Posted: 03 Nov 2012
Ka-Fai Li, C. H. Hui and T. K. Chung
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 91 (158,682)

Abstract:

price disparity, Renminbi forward exchange rates, onshore and offshore markets, spot rate model

4.

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
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 63 (261,905)

Abstract:

Market Segmentation, A and H Shares, Uncertainty

5.

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, C. H. 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 28 (359,110)

Abstract:

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

6.

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
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 25 (369,603)

Abstract:

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

7.

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 0 (497,558)

Abstract:

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

8.

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 0 (318,905)

Abstract:

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

9.

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 0 (384,769)

Abstract:

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

10.

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

Finance Research Letters, Forthcoming
Number of pages: 21 Posted: 03 Nov 2015 Last Revised: 08 Dec 2016
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 0 (384,769)

Abstract:

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