The panellists' average forecasts for the final settlement prices of One-month and Three-month HIBOR Futures on 17 July 2000 show they expect the one-month HIBOR to be 6.61% on that date and the three-month HIBOR to be 6.83%. The forecasts for the one-month rate range from 6.00% to 6.91%, while the forecasts for the three-month rate are between 6.44% and 7.06%. On 15 May 2000, cash market rates form one-month and three-month HIBOR were 7.01% and 7.11% respectively.
In the newsletter's opening article, UBS Warburg Economist Raphael Wu looks at whether the Hong Kong dollar is a risk-free currency. Mr. Wu says the Hong Kong dollar's peg to the US dollar is "expected to remain impervious for many years to come." But he also warns the SAR currency is "still highly vulnerable to external shocks and developments in Asia."
Applying his analysis to the Hong Kong dollar fixed income market, Mr. Wu predicts the risk premium at the long end of the yield curve would widen substantially if market participants saw: 1) an imminent renminbi devaluation; 2) high levels of inflation in the US; or 3) financial turmoil in emerging markets. However, he says none of the three are expected in the next 12 months.
The newsletter also includes an article on how home buyers can use HIBOR futures to provide protection against rising mortgage rates as well as a regular review of the HIBOR futures market.
"HIBOR Futures Market Update" is published by the HKFE's Economic Research Department. It is available, free of charge, at the Exchange's offices and the HKFE website (www.hkfe.com).
