Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence From Emerging Markets

Tanner, Evan

doi:10.5089/9781451843132.001

Cited by 38 publications

(49 citation statements)

References 22 publications

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“…There have been several empirical studies on the interactions between EMP and monetary policy for CEECs. Tanner (2002) estimates a VAR system for 32 emerging market countries. For the Czech Republic for the 1993–2000 period the results are mixed and difficult to interpret since structural changes were not controlled for in the estimation.…”

Section: Measuring Exchange Market Pressurementioning

confidence: 99%

From Peg to Float: Exchange Market Pressure and Monetary Policy in the Czech Republic

Kemme

Lyakir

2011

Rev International Economics

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Exchange market pressure (EMP) in the Czech Republic is calculated for [1995][1996][1997][1998][1999][2000][2001][2002][2003][2004][2005][2006], when the Czech National Bank transitioned to inflation targeting (IT). EMP is a useful indicator of incipient foreign exchange market pressures, a signal of the need for policy adjustments and a clear delineator of monetary policy regime change. VAR estimates clearly identify quite different policy responses during the two regimes. During 1995-98, interest rate and domestic credit responses to EMP were statistically significant and in accord with traditional theory, i.e. domestic credit creation and interest rates were managed to maintain the exchange rate target as if policymakers were explicitly responding to changes in EMP. During the 1998-2006 IT regime there is a link between domestic credit creation and EMP, with no interest rate effects. Exchange market interventions were incidental and supportive of IT goals. Impulse response functions mirror the VAR and Granger causality results.

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Section: Measuring Exchange Market Pressurementioning

confidence: 99%

From Peg to Float: Exchange Market Pressure and Monetary Policy in the Czech Republic

Kemme

Lyakir

2011

Rev International Economics

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“…The first study estimating EMP in, among others, some of EU4 (Czech Republic and Poland) was Tanner (2002). He applied the traditional Girton-Roper model on data from 32 emerging countries and, consequently, examined the relationship between EMP and monetary policy in a vector autoregression (VAR) system.…”

Section: Review Of Relevant Empirical Literaturementioning

confidence: 99%

Comparative Analysis of the Exchange Market Pressure in Central European Countries with the Eurozone Membership Perspective

Stavárek

2006

SSRN Journal

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“…Since the work of Girton and Roper (1977), many researchers use this index to develop EWS mechanisms to detect money market turbulence across countries. See Tanner (2002) for a review.…”

Section: Introductionmentioning

confidence: 99%

Forecasting Financial Stress Indices in Korea: A Factor Model Approach

Kim

Shi

2015

SSRN Journal

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Contents 1. Introduction ··········································································· 1 2. The Econometric Model ····················································· 3 3. Data Descriptions and Factor Estimations ··················· 7 3.1. Data descriptions ························································································ 7 3.2. Latent factors and their characteristics ·············································· 9 4. Forecasting Exercises ························································· 16 4.1. In-Sample fit analysis ·············································································· 16 4.2. Out-of-Sample forecast exercises and model evaluations ·········· 18 5. Concluding Remarks ·························································· 25 References ·················································································· 26 Forecasting Financial Stress Indices in Korea: A Factor Model ApproachWe propose factor-based out-of-sample forecast models for the financial stress index and its 4 sub-indices developed by the Bank of Korea. We employ the method of the principal components for 198 monthly frequency macroeconomic data to extract multiple latent factors that summarize the common components of the entire data set. We evaluate the out-of-sample predictability of our models via the ratio of the root mean squared prediction errors and the Diebold-Mariano-West statistics. Our factor models overall outperform the random walk model in forecasting the financial stress indices for up to 1-year forecast horizon. Our models also perform fairly well relative to a stationary autoregressive model especially when the forecast horizon is short, which is practically useful because financial crises often occur abruptly with no systemic warning signals.Parsimonious models with small number of factors perform as well as bigger models. Overall, our findings imply that not only financial data but also real activity variables can help out-of-sample forecast the vulnerability in the financial markets.

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Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence From Emerging Markets

Cited by 38 publications

References 22 publications

From Peg to Float: Exchange Market Pressure and Monetary Policy in the Czech Republic

From Peg to Float: Exchange Market Pressure and Monetary Policy in the Czech Republic

Comparative Analysis of the Exchange Market Pressure in Central European Countries with the Eurozone Membership Perspective

Forecasting Financial Stress Indices in Korea: A Factor Model Approach

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