Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model
AbstractThis paper applies the Girton-Roper model of exchange market pressure (EMP) on four Central European economies (Czech Republic, Hungary, Poland, Slovakia) over the period 1995-2008. The results suggest that there is a strong negative relation between domestic credit and EMP in all countries. We also found evidence of positive effect of domestic income on EMP in most of the countries. The paper reveals that EMP in the Czech Republic and Hungary was mostly absorbed by changes of exchange rate while changes in reserves absorbed EMP in Slovakia. The levels of EMP estimated do not pose a significant threat for fulfilment of the exchange rate stability convergence criterion.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15744.
Date of creation: 15 Jun 2009
Date of revision:
exchange market pressure; Girton-Roper model; euro-candidate countries;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-03 (All new papers)
- NEP-IFN-2009-07-03 (International Finance)
- NEP-MON-2009-07-03 (Monetary Economics)
- NEP-TRA-2009-07-03 (Transition Economics)
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