Stavarek, Daniel (2008): Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective. Published in: South East European Journal of Economics and Business , Vol. 3, No. 2 : pp. 7-18.
Download (618kB) | Preview
This paper estimates the exchange market pressure (EMP) in four Central European countries (Czech Republic, Hungary, Poland, Slovakia) over the period 1993-2006. Therefore, it is one of very few studies focused on this region and the very first paper applying concurrently model-dependent as well as model-independent approach to the EMP estimation on these countries. The results obtained suggest that the approaches lead to inconsistent findings. They often differ in identification of the principal development trends as well as magnitude and direction of the pressure. The paper provides evidence that a shift in the exchange rate regime towards the quasi-fixed ERM II should not stimulate EMP to grow. However, it is highly probable that some episodes of the excessive EMP will make the fulfillment of the exchange rate stability criterion more difficult in all countries analyzed.
|Item Type:||MPRA Paper|
|Original Title:||Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective|
|Keywords:||Exchange Market Pressure; Model-dependent Approach; Model-independent Approach; European Union; Euro-candidate Countries|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Daniel Stavarek|
|Date Deposited:||12. Dec 2008 10:43|
|Last Modified:||18. Mar 2015 07:03|
Bielecki, S. 2005. Exchange market pressure and domestic credit evidence from Poland. The Poznan University of Economics Review 5 (1): 20-36.
Eichengreen, B., A. K. Rose, C. Wyplosz. 1994. Speculative Attacks on Pegged Exchange Rates: an Empirical Exploration with Special Reference to the European Monetary System. Working Paper No. 4898. National Bureau of Economic Research.
Eichengreen, B., A. K. Rose, C. Wyplosz. 1995. Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic Policy 10 (21): 249-312.
Girton, L., D. Roper. 1977. A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. American Economic Review 67 (4): 537-548.
Kaminski, G., S. Lizondo, C. Reinhart. 1998. Leading indicators of currency crises. IMF Staff Papers 45 (1): 1-48.
Kaminski, G., C. Reinhart. 1999. The twin crises: The causes of banking and balance-of-payments problems. American Economic Review 89 (3): 473-500.
Pentecost, E. J., C. Van Hoydonk, A. Van Poeck. 2001. Measuring and Estimating Exchange Market Pressure in the EU. Journal of International Money and Finance 20 (3): 401-418.
Roper, D., S. J. Turnovsky. 1980. Optimal Exchange Market Intervention in a Simple Stochastic Macro Model. Canadian Journal of Economics 13 (2): 296-309.
Sachs, J. D., A. Tornel, A. Velasco. 1996. Financial crises in emerging markets: The lessons from 1995. Brooking Papers on Economic Activity 1996 (1): 147-215.
Spolander, M. 1999. Measuring Exchange Market Pressure and Central Bank Intervention. Bank of Finland Studies E:17.
Stavárek, D. 2005. Exchange Market Pressure in New EU-member Countries. In Money, Banking and Financial Markets. Proceedings from the International Conference, 244-248. Bratislava: Ekonóm.
Tanner, E. 2002. Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence from Emerging Markets. Working Paper WP/02/14. International Monetary Fund.
Turnovsky, S. J. 1985. Optimal Exchange Market Intervention: Two Alternative Classes of Rules. In J. S. Bhandari (ed) Exchange Rate Management Under Uncertainty. Cambridge: MIT Press.
Van Poeck, A., J. Vanneste, M. Veiner. 2007. Exchange Rate Regimes and Exchange Market Pressure in the New EU Member States. Journal of Common Market Studies 45 (2): 459-485.
Weymark, D. N. 1995. Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada. Journal of International Economics 39 (3-4): 273-295.
Weymark, D. N. 1997a. Measuring the Degree of Exchange Market Intervention in a Small Open Economy. Journal of International Money and Finance 16 (1): 55-79.
Weymark, D. N. 1997b. Measuring Exchange Market Pressure and Intervention in Interdependent Economy: A Two-Country Model. Review of International Economics 5 (1): 72-82.
Weymark, D. N. 1998. A General Approach to Measuring Exchange Market Pressure. Oxford Economic Papers 50 (1): 106-121.