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2009 | LXXX (80) | 241-257

Article title

Nowa metoda identyfikacji epizodów kryzysowych na rynku walutowym w oparciu o wskaźnik presji rynkowej (EMP)

Content

Title variants

EN
A new method of identifying crisis occurrence on the currency market on basis of the exchange market pressure (EMP)

Languages of publication

PL

Abstracts

EN
The economic literature dealing with currency crises most frequently identifies crisis occurrence on the basis of a measure called exchange market pressure wchich approximates pressures on the currency markets. It is shown in this article that the identification of crises episodes obtained in this way leaves much to be desired. That is why an alternative method of identifying crisis occurence is presented in the paper. Nevetherless, the methods also benefits from the concept of echange market pressure.

Year

Volume

Pages

241-257

Physical description

Dates

published
2009

Contributors

  • Katedra Modeli i Prognoz Ekonometrycznych Uniwersytetu Łódzkiego.

References

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  • Eichengreen, B., Rose, A.K., Wyplosz, C. (1994), Contagious Currency Crises, National Bureau of Economic Research, NBER Working Papers, No. 5681.
  • Frankel J.A., Wei S-J, (2008), Estimation of De Facto Exchange Rate Regimes: Synthesis of the Techniques for Inferring Flexibility and Basket Weights, IMF staff papers, 55.3, s. 384–416.
  • Girton, L., Roper, D. (1977), A monetary model of exchange market pressure applied to the postwar Canadian experience, American Economic Review, vol. 76, s. 537–548.
  • Grabowski W. (2009a), Cointegration Approach to Estimation of the Exchange Market Pressure in Slovakia, Artykuł prezentowany na konferencji: 5-th Nordic Econometric Meeting, Lund 2009.
  • Grabowski W. (2009b), Testing stationarity of an unsobservable latent variable in binary choice model, University of Lodz, mimeo.
  • Grabowski W. (2010), Opóźniona reakcja kryzysu walutowego na determinant jego wybuchu, Myśl Prawna i Ekonomiczna, w druku.
  • Hallwood, C.P., Marsh, I.W. (2004), Exchange market pressure on the pound-dollar exchange rate: 1925–1931, North American Journal of Economics and Finance, vol. 15, s. 249–264.
  • Khawaja, M.I. (2007), Exchange Market Pressure and Monetary Policy: Evidence from Pakistan. PIDE Working Papers 31
  • Klaassen, F., Jager, H. (2008), A new approach to measuring exchange market pressure, University of Amsterdam, mimeo.
  • Kufel (2004), Postulat zgodności w dynamicznych modelach ekonometrycznych, Wydawnictwo Uniwersytetu Mikołaja Kopernika.
  • Mathur, P. (1999), An Exchange Market Pressure for India, Indian Economic Review, vol. 34, s.127–148
  • Parlaktuna (2005), Exchange market pressure in Turkey 1993–2004: An Application of the Girton-Roper model, International Economic Journal, vol. 19, s. 51–62
  • Peltonen, T.A. (2006), Are Emerging market currency crises predictable? A Test. European Central Bank, Working Paper Series.
  • Siklos, P.L., Weymark D.N., (2006), Measuring the impact of intervention on Exchange market pressure Laurier Business and Economics Working Paper Series.
  • Stavarek, D. (2006), Estimation of the Exchange Market Pressure in the EU4 Countries: A Model-Dependent Approach, Munich Personal RePEc Archive.
  • Stavarek, D. (2007), Comparative analysis of the exchange market pressure in the Central European countries with the Eurozone membership perspective, Munich Personal RePEc Archive.
  • Stavarek, D. (2009), Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective, South East European Journal of Economics and Business vol. 23, s. 7–18.
  • Thorton J. (1995), Exchange Market Pressure in Costa Rica, 1986–92: An Application of the Girton-Roper model, International Economic Journal, vol.9, s. 67–72
  • Weymark, D.N. (1995), Estimating exchange market pressure and the degree of exchange market intervention for Canada, Journal of International Economics, vol. 39, s. 273–295.
  • Weymark, D.N. (1997a), Measuring the Degree of Exchange Market Intervention in a Small Open Economy, Journal of International Money and Finance, vol. 16, s. 55–79.
  • Weymark, D.N. (1997b), Measuring Exchange Market Pressure and Intervention in Interdependent Economy: A Two-Country Model., Review of International Economics, vol. 5, s. 72–82.
  • Van Horen, N., Jager, H. and Klaassen, F. (2006), Foreign exchange market contagion in the Asian crisis: a regression-based approach, Review of World Economics, vol. 142, s. 374–401.
  • 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, vol. 45, s. 459–485.

Document Type

Publication order reference

Identifiers

ISSN
0081-6841

YADDA identifier

bwmeta1.element.desklight-1cbef5d7-fd92-4b64-bbda-026ad8b1e298
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