Stavarek, Daniel (2006): Estimation of the Exchange Market Pressure in the EU4 Countries: A Model-Dependent Approach. Published in: Investment Management and Financial Innovations , Vol. 4, No. 3 (2007): pp. 80-94.
This is the latest version of this item.
Download (300kB) | Preview
This paper estimates the exchange market pressure (EMP) on currencies of EU4 countries (Czech Republic, Hungary, Poland, Slovakia) during the period 1993-2005. Therefore, it is one of a very few studies focused on this region and the very first paper applying the model-dependent approach to the EMP estimation on these countries. Moreover, the model proposed by Spolander (1999) is used in the paper along with quarterly data. Thus, this paper, tests the suitability of this model for the countries analysed. Regarding the results obtained, EMP is of similar magnitude in all countries except Poland. We found that EMP was significantly lower and less volatile during the periods when a floating exchange rate arrangement was applied than in periods with fixed exchange rates. It implies that unavoidable entry into ERM II (a quasi-fixed regime) could lead to the EMP increase during the period of the exchange rate stability criterion fulfilment. Hence, a revision of the current definition and understanding of the criterion fulfilment is suggested. Since the model estimation was burdened by some factors reducing the estimates validity we also propose some modifications and extensions of the methodology applied.
|Item Type:||MPRA Paper|
|Institution:||Silesian University - School of Business Administration|
|Original Title:||Estimation of the Exchange Market Pressure in the EU4 Countries: A Model-Dependent Approach|
|Keywords:||market pressure; Central Europe; model-dependent approach; exchange rate stability criterion|
|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
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:||19. Feb 2008 00:36|
|Last Modified:||23. Feb 2013 09:23|
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, and C. Wyplosz, 1996, “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks,” Economic Policy, 10(21), 251-312. Girton, L., and D. Roper, 1977, “A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience,” American Economic Review, 67(4), 537-548. Jeisman, S., 2005, “Exchange Market Pressure in Australia,” Quarterly Journal of Business and Economics, 44(1-2), 13-27. McCallum, B.T., 1997, “Issues in the Design of Monetary Policy Rules,” Working Paper No. 6016. National Bureau of Economic Research. Pentecost, E.J., C. Van Hooydonk, and 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., and S.J. Turnovsky, 1980, "Optimal Exchange Market Intervention in a Simple Stochastic Macro Model," Canadian Journal of Economics 13(2), 296-309. Stavárek, D., 2005, “Exchange Market Pressure in New EU-member Countries,” in Mena, Bankovníctvo a Finančné trhy. Zborník z medzinárodnej vedeckej konferencie, 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. Vanneste, J., A. Van Poeck, and M. Veiner, 2005, “Exchange rate regimes and exchange market pressure in accession countries”. University of Antwerp, Department of Economics. 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.
Available Versions of this Item
Some evidence of exchange market pressure in the EU4 countries. (deposited 17. Dec 2006)
- Estimation of the Exchange Market Pressure in the EU4 Countries: A Model-Dependent Approach. (deposited 19. Feb 2008 00:36) [Currently Displayed]