Exchange Market Pressure in Australia
This paper measures the exchange market pressure (EMP) on the Australian dollar over the post-float period using the model-dependent approach proposed by Weymark (1995, 1998) and the model-independent approach developed by Eichengreen, Rose and Wyplosz (1996). Although there are some concerns over the estimation of the model-dependent index, the resulting EMP indices both appear to provide relatively plausible descriptions of the pressure on the Australian dollar. The role of foreign exchange intervention is examined through the construction of degree of intervention (DI) indices. The results reveal that intervention by the Reserve Bank of Australia contributed to the large depreciation of the Australian dollar between 1997 and 2001.
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Web page: http://www.bus.qut.edu.au/faculty/economics/
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- Weymark, Diana N, 1997. "Measuring the degree of exchange market intervention in a small open economy," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 55-79, February.
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994.
"Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System,"
CEPR Discussion Papers
1060, C.E.P.R. Discussion Papers.
- Barry Eichengreen, Andrew K. Rose, and Charles Wyplosz., 1995. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," Center for International and Development Economics Research (CIDER) Working Papers C95-046, University of California at Berkeley.
- Eichengreen, Barry & Rose, Andrew K. & Wyplosz, Charles, 1995. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," Center for International and Development Economics Research (CIDER) Working Papers 233397, University of California-Berkeley, Department of Economics.
- Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1995. "Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System," Working Papers in Applied Economic Theory 95-04, Federal Reserve Bank of San Francisco.
- Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," NBER Working Papers 4898, National Bureau of Economic Research, Inc.
- Spolander, Mikko, 1999. "Measuring exchange market pressure and central bank intervention," Scientific Monographs, Bank of Finland, number 17/1999.
- Weymark, Diana N, 1998. "A General Approach to Measuring Exchange Market Pressure," Oxford Economic Papers, Oxford University Press, vol. 50(1), pages 106-121, January.
- Don E. Roper & Stephen J. Turnovsky, 1980. "Optimal Exchange Market Intervention in a Simple Stochastic Macro Model," Canadian Journal of Economics, Canadian Economics Association, vol. 13(2), pages 296-309, May.
- Kim, Inchul, 1985. "Exchange Market Pressure in Korea: An Application of the Girton-Roper Monetary Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(2), pages 258-263, May.
- Stephen Pollard, 1999. "Foreign exchange market pressure and transmission of international disturbances: the case of Barbados, Guyana, Jamaica, and Trinidad & Tobago," Applied Economics Letters, Taylor & Francis Journals, vol. 6(1), pages 1-4.
- Jai Mah, 1998. "Exchange market pressure in Korea: dynamic specifications," Applied Economics Letters, Taylor & Francis Journals, vol. 5(12), pages 765-768.
- Pentecost, Eric J. & Van Hooydonk, Charlotte & Van Poeck, Andre, 2001.
"Measuring and estimating exchange market pressure in the EU,"
Journal of International Money and Finance,
Elsevier, vol. 20(3), pages 401-418, June.
- PENTECOST, Eric J. & VAN HOOYDONK, Charlotte & VAN POECK, André, 1997. "Measuring and estimating exchange market pressure in the EU," SESO Working Papers 1997009, University of Antwerp, Faculty of Applied Economics.
- Connolly, Michael & Dantas da Silveira, Jose, 1979. "Exchange Market Pressure in Postwar Brazil: An Application of the Girton-Roper Monetary Model," American Economic Review, American Economic Association, vol. 69(3), pages 448-454, June.
- Weymark, Diana N., 1995. "Estimating exchange market pressure and the degree of exchange market intervention for Canada," Journal of International Economics, Elsevier, vol. 39(3-4), pages 273-295, November.
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