Stavarek, Daniel and Dohnal, Marek (2009): Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model. Published in: Economies of Central and Eastern Europe: Convergence, Opportunities and Challenges. Conference Proceedings. Tallinn, 14-16 June 2009. ISBN 978-9949-430-28-4.
Download (167kB) | Preview
This paper applies the Girton-Roper model of exchange market pressure (EMP) on four Central European economies (Czech Republic, Hungary, Poland, Slovakia) over the period 1995-2008. The results suggest that there is a strong negative relation between domestic credit and EMP in all countries. We also found evidence of positive effect of domestic income on EMP in most of the countries. The paper reveals that EMP in the Czech Republic and Hungary was mostly absorbed by changes of exchange rate while changes in reserves absorbed EMP in Slovakia. The levels of EMP estimated do not pose a significant threat for fulfilment of the exchange rate stability convergence criterion.
|Item Type:||MPRA Paper|
|Original Title:||Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model|
|Keywords:||exchange market pressure; Girton-Roper model; 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
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:||16. Jun 2009 00:37|
|Last Modified:||17. Dec 2013 13:23|
Bahmani-Oskooee, M., Shiva, R. 1998. A method of detecting whether a central bank engages in the black market for foreign exchange: Evidence from Iran. Economics Letters, 60, 1, 97-103.
Connolly, M., Silveira, J.D. 1979. Exchange Market Pressure in Postwar Brazil: An Application of Girton-Roper Monetary Model. American Economic Review, 69, 3, 448-454.
Eichengreen, B.J., Rose, A.K., Wyplosz, C. 1994. Speculative Attacks on Pegged Exchange Rates: an Empirical Exploration with Special Reference to the European Monetary System. NBER Working Paper No. 4898.
Eichengreen, B.J., Rose, A.K., Wyplosz, C. 1995. Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic Policy, 10, 21, 249-312.
Girton, L., Roper, D.E. 1977. A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. American Economic Review, 67, 4, 537-548.
Khawaja, M.I. 2007. Exchange Market Pressure and Monetary Policy: Evidence from Pakistan. PIDE Working Papers 2007:31.
de Macedo, J.B., Braz, J., Pereira, L.B., Nunes, L.C. 2004. Exchange Market Pressure and the Credibility of Macau’s Currency Board. mimeo.
Mathur, P. 1999. An Exchange Market Pressure for India. Indian Economic Review, 34, 2, 127-148.
Mirdala, R. 2009. Interest rate transmission mechanism of the monetary policy in selected EMU candidate countries (SVAR approach). MPRA Paper No. 14072.
Pentecost, E.J., Van Hoydonk, C., Van Poeck, A. 2001. Measuring and Estimating Exchange Market Pressure in the EU. Journal of International Money and Finance, 20, 3, 401-418.
Parlaktuna, I. 2005. Exchange Market Pressure in Turkey 1993-2004: An Application of the Girton-Roper Model. International Economic Journal, 19, 1, 51-62.
Pontines, V., Siregar, R. 2006. Identifying and Dating the Episodes of Speculative Pressures against the Singapore Dollar. Singapore Economic Review, 51, 2, 113-133.
Stavárek, D. 2008. Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective. South East European Journal of Economics and Business, 2, 3, 7-18.
Thorton, J. 1995. Exchange Market Pressure in Costa Rica, 1986-92: An Application of the Girton-Roper Model. International Economic Journal, 9, 1, 67-72.
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.
Younus, S. 2005. Exchange Market Pressure and Monetary Policy. PAU Working Paper Series WP 0603.