Joof, Foday (2024): Constructing an exchange market pressure index: a mechanism for predicting currency crises in The Gambia.
PDF
MPRA_paper_121534.pdf Download (554kB) |
Abstract
The aim of this paper is to construct an early warning signaling mechanism (exchange rate market pressure index) for predicting currency crises in The Gambia. The analysis revealed that the Gambian economy suffered six major currency crises between 2002 and 2023. These episodes stemmed from both domestic and external shocks, with more vulnerability from domestic shocks. However, the observed pressures are mostly short-lived with market absorbing shocks, on average between 1-2 months. Importantly, a threshold has been determined to identify pressures in the Forex market before a currency crisis.
Item Type: | MPRA Paper |
---|---|
Original Title: | Constructing an exchange market pressure index: a mechanism for predicting currency crises in The Gambia |
English Title: | Constructing an exchange market pressure index: a mechanism for predicting currency crises in The Gambia |
Language: | English |
Keywords: | Exchange rate market pressure index, Currency crises, The Gambia |
Subjects: | E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook |
Item ID: | 121534 |
Depositing User: | foday d joof |
Date Deposited: | 24 Jul 2024 11:36 |
Last Modified: | 24 Jul 2024 11:36 |
References: | CBG (2016). Annual Report, https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=&ved=2ahUKEwjr- LiK5K-EAxX_SKQEHcQnD4QQFnoECC4QAQ&url=https%3A%2F%2Fwww.cbg.gm%2Fdownloads-file%2F40be0985-f3e5-11e9-876c- 02e599c15748&usg=AOvVaw3a35Ov_NSvXgBSrTP6M7AT&opi=89978449 Eichengreen, B., Rose, A. K., & Wyplosz, C. (1995). Exchange market mayhem: the antecedents and aftermath of speculative attacks. Economic policy, 10(21), 249-312. Eichengreen, B., Rose, A. K., & Wyplosz, C. (1996). Contagious currency crises. Feridun, M. (2009, p.9). Determinants of exchange market pressure in Turkey: An econometric investigation. Emerging Markets Finance and Trade, 45(2), 65-81. Girton, L., & Roper, D. (1977). A monetary model of exchange market pressure applied to the postwar Canadian experience. The American economic review, 67(4), 537-548. IMF (2004). Public Information Notice: IMF Concludes 2003 Article IV Consultation with The Gambia. https://www.imf.org/en/News/Articles/2015/09/28/04/53/pn0458. Kaendera, S., Dixit, S. V. S., & Ltaifa, N. B. (2009). Impact of the global financial crisis on exchange rates and policies in sub-Saharan Africa. International Monetary Fund. Klaassen, F., & Jager, H. (2011). Definition-consistent measurement of exchange market pressure. Journal of International Money and Finance, 30(1), 74-95. McFarlane, L. (2010). Exchange market pressure, currency crises and monetary policy: Evidence from Jamaica. Working Paper Bank of Jamaica. Sachs, J. D., Tornell, A., & Velasco, A. (1996). Financial crises in emerging markets: the lessons from 1995. Weymark, D. N. (1997). Measuring the degree of exchange market intervention in a small open economy. Journal of international money and finance, 16(1), 55-79 |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/121534 |