PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2005 | 5 | nr 1 | 20-36
Tytuł artykułu

Exchange market pressure and domestic credit evidence from Poland

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Starting from the Girton-Roper definition of the exchange market pressure index (EMP) we use the index to describe the Polish exchange rate system in transition 1994-2002. We also compare EMP indices calculated under two alternative methodologies. For that purpose we use first all foreign reserve changes and then pure official FOREX intervention data, which seems to be more relevant for assessing the actual exchange market stance. In fact, it better catches 'events' in the history of the Polish currency market. However, the narrower index performs worse than the broader one in the estimated linear EMP models. On the contrary, in the case of a VAR model the EMP index based on the intervention data produces more clear and long-lived signals, confirming the strong sterilization practice by the Polish central bank in the first sample subperiod. (original abstract)
Rocznik
Tom
5
Numer
Strony
20-36
Opis fizyczny
Twórcy
  • Poznań University of Economics, Poland
Bibliografia
  • Bound J., Jaeger D.A., Baker R.M. (1995), Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogenous Explanatory Variable is Weak, Journal of the American Statistical Association Vol. 90(430), p. 443-450.
  • Davidson R., MacKinnon J.G. (1993), Estimation and Inference in Econometrics, Oxford University Press, New York, Oxford.
  • Eichengreen B., Rose A.K., Wyplosz C. (1995), Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks, Economic Policy Vol. 10(21), p. 251-312.
  • Girton L., Roper D.E. (1977), A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience, American Economic Review Vol. 67, p. 537-548.
  • Godfrey L., Hutton J. (1994), Discriminating Between Errors-in-Variables/Simultaneity and Misspecification in Linear Regression Models, Economics Letters Vol. 44, p. 359-364.
  • Hausman J.A. (1978), Specification Tests in Econometrics, Econometrica Vol. 46, p. 1251-1271.
  • Hausman J.A. (1983), Specification and Estimation of Simultaneous Equation Models, in: Z. Griliches and M. Intriligator (eds.), Handbook of Econometrics, North-Holland Publishing Company, chapter 7, p. 391-448.
  • Johnson H.G. (1972), The Monetary Approach to Balance of Payments Theory, Journal of Financial and Quantitative Analysis Vol. 7, p. 1555-1571.
  • Kamaly A., Nese E. (2000), A VAR Analysis of Exchange Market Pressure: A Case Study for the MENA Region, Working Paper, 2025, Economic Research Forum, Cairo, Egypt.
  • Kim I. (1985), Exchange Market Pressure in Korea: An Application of the Girton-Roper Monetary Model, Journal of Money, Credit and Banking Vol. 17, No. 2, p. 258-263.
  • Mah J.S. (1995), An Analysis of the Structural Change in the Exchange Market Pressure: Korea, 1980-89', Applied Economics Letters Vol. 2, p. 80-82.
  • Mastropasqua C., Micossi S., Rinaldi R. (1988), Interventions, Sterilization and Monetary Policy in European Monetary System Countries, 1979-1987, in: F. Giavazzi, S. Micossi, and M. Miller (eds.), The European Monetary System: Proceedings of a Conference Organised by the Banca d'Italia, STEP, and CEPR, Cambridge University Press, p. 252-287.
  • Neely C.J. (2000), Are Changes in Foreign Exchange Reserves Well Correlated with Official Intervention?, Federal Reserve Bank of St. Louis Review Vol. 82, No. 5, p. 17-31.
  • Spolander M. (1999), Measuring Exchange Market Pressure and Central Bank Intervention, Bank of Finland Studies, E-17.
  • Tanner E. (2001), Exchange Market Pressure and Monetary Policy: Asia and Latin America in the 1990s, IMF Staff Papers Vol. 47(3), p. 311-333.
  • Tanner E. (2002), Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence from Emerging Markets, IMF Working Paper, 02/14.
  • Thornton J. (1995), Exchange Market Pressure in Costa Rica, 1986-92: An Application of the Girton-Roper Model, International Economic Journal Vol. 9, No. 1, p. 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, p. 273-295.
  • Weymark D.N. (1997), Measuring the Degree of Exchange Market Intervention in a Small Open Economy, Journal of International Money and Finance Vol. 16, No. 1, p. 55-79.
  • 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 Scienze Economiche e Commerciali Vol. 39, No. 12, p. 993-1013.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171220175
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.