Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound

Hall, Stephen G.; Kenjegaliev, Amangeldi; Swamy, P. A. V. B.; Tavlas, George S.

doi:10.1016/j.jjie.2013.04.001

Cited by 15 publications

(6 citation statements)

References 30 publications

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“…Earlier studies on the misalignment of exchange rates used the PPP approach and relied heavily on identifying misalignments based on a deviation of the real exchange rate from its equilibrium. Hall et al (2013) employ the exchange market pressure approach to investigate currency misalignment using time-varying coefficients.…”

Section: Key-contentious Issues Related To the Methodology Of Empimentioning

confidence: 99%

Foreign exchange market asymmetries in Pacific small island developing states: Evidence from Fiji

et al. 2022

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After abandoning Bretton Wood, the foreign exchange market has been dominated by three types of economies: export‐oriented economies (China and other Asian countries), commodity economies (Australia, New Zealand, Canada, and oil exporting nations) and reserve‐currency economies (US, EU, UK, and Swiss). As a result, the asymmetric development of the foreign exchange market has reduced the monetary and fiscal space for PSIDS, which face structural challenges such as a low population base, import dependence, aid dependency, climate risk, and political uncertainty. The ‘Exchange Market Pressure Index’ (EMPI) for Fiji is developed in this article to quantify the pressure on the exchange rate and monetary authorities' responses to micromanaging balance sheet impacts. The calculated EMPI accurately reflects four instances of financial distress in Fiji, including significant exchange market pressure in response to growing trade deficits and external debt, the global financial crisis's contagion effect, and political uncertainty. Our EMP Index's robustness is attributed in part to the employment of a dynamic time series estimate method, a time‐varying weighing scheme, and a high‐frequency monthly dataset.

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Section: Key-contentious Issues Related To the Methodology Of Empimentioning

confidence: 99%

Foreign exchange market asymmetries in Pacific small island developing states: Evidence from Fiji

et al. 2022

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“…Dynamics of currencies such as the Chinese yuan along with other economic indicators have been traditionally under focus in financial studies. Hall et al [32] measure currency pressures upon Japanese yen, Chinese yuan and UK pound while keeping US Dollar as the reference currency. They use a model-based methodology to measure exchange market pressure and finds that conversion results are consistent with the actual market policies pursued.…”

Section: Literature Reviewmentioning

confidence: 99%

Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants

2021

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This study examines the interaction of Bitcoin with fiat currencies of three developed (euro, pound sterling and yen) and three emerging (yuan, rupee and ruble) market economies. Empirical investigations are executed through symmetric, asymmetric and non-linear causality tests, and Markov regime-switching regression (MRSR) analysis. Results show that Bitcoin has a causal nexus with Chinese yuan and Indian rupee for price and various return components. The MRSR analysis justifies these findings by demonstrating the presence of interaction in contractionary regimes. Accordingly, it can be stated that when markets display a downward trend, appreciation of the Chinese yuan and Indian rupee positively and strongly affects the value of Bitcoin, possibly due to the market timing. The MRSR analysis also exhibits a transition from a tranquil to a crisis regime in March 2020 because of the pandemic. However, a shorter duration spent in the crisis regime in 2020 indicates the limited and relatively less harmful effect of the pandemic on the cryptocurrency market when compared to the turmoil that occurred in 2018.

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“…In a study by Hall et al (2013), the time-varying weights version of the Girton & Roper model is used for EMP estimation. According to estimates made on the basis of Yen, Yuan, Pound and Dollar, EMP shows that Yen and Yuan are overvalued against the Dollar, while the Pound is a free-floating currency.…”

Section: Theoretical Background and Recent Literaturementioning

confidence: 99%

Exchange Market Pressure and Monetary Policy: The Turkish Case

Şiklar

2020

ECO

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The purpose of this study is to determine the relationship between monetary policy and the exchange market pressure index in Turkey for the 2002–2018 period with monthly data. To obtain the foreign exchange market pressure index, this study uses the model developed by L. Girton and D.E. Roper and is based fundamentally on the monetary approach to exchange rate determination and the balance of payments. The calculated exchange market pressure index is in accordance with the developments lived in financial markets and changes in monetary policy during the period under investigation. As for the relation between exchange market pressure index and monetary policy, a VAR model was set up and a Granger type causality analysis was carried out. According to Granger causality test results, there is a unidirectional causality running from domestic credit expansion to exchange market pressure and from domestic credit expansion to interest rate differential while there is a bidirectional causality between exchange market pressure and interest rate differential. Since increasing exchange market pressure means a depreciation of the Turkish Lira, the estimated VAR model’s results support the view that the Central Bank will increase the interest rate to temper the exchange market pressure.

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Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound

Cited by 15 publications

References 30 publications

Foreign exchange market asymmetries in Pacific small island developing states: Evidence from Fiji

Foreign exchange market asymmetries in Pacific small island developing states: Evidence from Fiji

Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants

Exchange Market Pressure and Monetary Policy: The Turkish Case

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