Munich Personal RePEc ArchiveExchange Market Pressure in Central Europe: An Application of the Girton-Roper ModelDanielStavarekauthorMarekDohnalauthorThis 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.C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsF31 - Foreign ExchangeF36 - Financial Aspects of Economic Integration2009-06-15MPRA Paper

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