Stavarek, Daniel (2010): Determinants of the exchange market pressure in the euro-candidate countries.
Download (366kB) | Preview
In the paper we choose the correct model specification for eight new EU Member States (NMS) to estimate the exchange market pressure (EMP) over the period 1995-2009. The results suggest that growth of domestic credit and money multiplier had a significantly positive impact on EMP. Furthermore, EMP in many NMS was determined by foreign disturbances, namely euro area’s money supply, foreign capital inflow and interest rate differential. EMP in most of NMS with flexible exchange rate regime was primarily absorbed by changes in international reserves. This forms, along with fundamentally stable EMP development in recent years, a solid basis for potential fulfilment of the exchange rate stability convergence criterion.
|Item Type:||MPRA Paper|
|Original Title:||Determinants of the exchange market pressure in the euro-candidate countries|
|Keywords:||exchange market pressure; Girton-Roper model; determinants; new EU Member States|
|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:||23. Nov 2010 20:10|
|Last Modified:||13. Feb 2013 04:51|
1. Anastasatos, T., Manou, C. 2008. Speculative Attacks on the Drachma and the Changeover to the Euro. Economic Bulletin, 31, 49-77.
2. Asteriou, D., Hall, S.G. 2007. Applied Econometrics. A Modern Approach. Houndmills, Basingstoke: Palgrave Macmillan.
3. Bahmani-Oskooee, M., Bernstein, D.J. 1999. Exchange market pressure during the current managed float. Applied Economics Letters, 6, 9, 585-588.
4. Bekö, J., Boršič, D. 2007. Purchasing Power Parity in Transition Economies: Does It Hold in the Czech Republic, Hungary and Slovenia? Post-Communist Economies, 19, 4, 417-432.
5. Bertolli, S., Gallo, G.M., Ricchiuti, G. 2010. Exchange market pressure: some caveats in empirical applications. Applied Economics, 42, 19, 2435-2448.
6. Bielecki, S. 2005. Exchange market pressure and domestic credit evidence from Poland. The Poznan University of Economics Review, 5, 1, 20-36.
7. 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.
8. Davidson, R., MacKinnon, J.G. 1981. Several tests for model specification in the presence of alternative hypotheses. Econometrica, 49, 3, 791-793.
9. 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.
10. 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.
11. García, C., Malet, N. 2007. Exchange market pressure, monetary policy, and economic growth: Argentina, 1993-2004. The Developing Economies, 45, 3, 253-282.
12. 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.
13. Hegerty, S.W. 2009. Capital inflows, exchange market pressure, and credit growth in four transition economies with fixed exchange rate. Economic Systems, 33, 2, 155-167.
14. Kemme, D.M., Lyakir, G. 2009. From Peg to Float: Exchange Market Pressure as a Guide for Monetary Policy in the Czech Republic. In Economies of Central and Eastern Europe: Convergence, Opportunities and Challenges. Conference Proceedings. Tallinn: Tallinn University of Technology.
15. Khawaja, M.I. 2007. Exchange Market Pressure and Monetary Policy: Evidence from Pakistan. The Lahore Journal of Economics, 12, 2, 83-114.
16. Maret, V. 2009. Exchange market pressure and the role of institutions in the new EU members, EU candidates and potential candidates. Les Cahiers de Recherche, 2009, April, 11, 249-282.
17. Mathur, P. 1999. An Exchange Market Pressure for India. Indian Economic Review, 34, 2, 127-148.
18. Mirdala, R. 2008. Exchange rate and output vulnerability to macroeconomic shocks in selected CEECs (SVAR approach). Ekonomicky casopis, 56, 8, 745-763.
19. Mizon, G.E., Richard, J.F. 1986. The Encompassing Principle and its Application to Non-Nested Hypotheses. Econometrica, 54, 3, 657-678.
20. Moreno, R. 1995. Macroeconomic Behavior During Periods of Speculative Pressure on Realignment: Evidence from Pacific Basin Economies. FBRSF Economic Review, 3, 3-16.
21. 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.
22. Parlaktuna, I. 2005. Exchange Market Pressure in Turkey 1993-2004: An Application of the Girton-Roper Model. International Economic Journal, 19, 1, 51-62.
23. Pollard, S.K. 1999. Foreign exchange market pressure and transmission of international disturbances: the case of Barbados, Guyana, Jamaica, and Trinidad & Tobago. Applied Economics Letters, 6, 1, 1-4.
24. Pontines, V., Siregar, R. 2006. Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises. International Review of Economics and Finance, 17, 3, 345-365.
25. Sachs, J.D., Tornell, A., Velasco, A. 1996. Financial crises in emerging markets: The lessons from 1995. Brooking Papers on Economic Activity, 1/1996, 147-215.
26. Sideris, D. 2006. Purchasing Power Parity in economies in transition: evidence from Central and East European countries. Applied Financial Economics, 16, 1-2, 135-143.
27. Stavárek, D. 2006. Exchange Market Pressure before Entering the ERM II - the Case of Central European Countries, Amfiteatru Economic, 19, 34-39.
28. Stavárek, D. 2010a. Investigation of Exchange Market Pressure in Central European Countries Using the Girton-Roper Model. Economic Computation and Economic Cybernetics Studies and Research, 44, 2, 19-32.
29. Stavárek, D. 2010b. Exchange Market Pressure and De Facto Exchange Rate Regime in the Euro-Candidates. Romanian Journal for Economic Forecasting, 13, 2, 119-139.
30. 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.
31. Van Poeck, A., Vanneste, J., Veiner, M. 2007. Exchange Rate Regimes and Exchange Market Pressure in the New EU Member States. Journal of Common Market Studies, 45, 2, 459-485.
32. 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.
33. Wohar, M.E., Lee, B.S. 1992. An application of the Girton-Roper monetary model of exchange market pressure: The Japanese experience, 1959-1991. Rivista Internazionale di Science Economiche e Commerciali, 39, 12, 993-1013.
34. Younus, S. 2005. Exchange Market Pressure and Monetary Policy. PAU Working Paper Series WP 0603.
35. Ziramba, E. 2007. Measuring exchange market pressure in South Africa: an application of the Girton-Roper monetary model. South African Journal of Economic and Management Sciences, 10, 11, 89-98.