Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10281710" target="_blank" >RIV/00216208:11230/14:10281710 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S026156061300123X" target="_blank" >http://www.sciencedirect.com/science/article/pii/S026156061300123X</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jimonfin.2013.08.021" target="_blank" >10.1016/j.jimonfin.2013.08.021</a>

Result language
angličtina
Original language name
Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence
Original language description
In this paper, we examine whether pre-crisis leading indicators help explain pressures on the exchange rate (and its volatility) during the global financial crisis. We use a unique data set that covers 149 countries and 58 indicators, and estimation techniques that are robust to model uncertainty. Our results are threefold: First and foremost, we find that price stability plays a pivotal role as a determinant of exchange rate pressures. More specifically, the currencies of countries that experienced higher inflation prior to the crisis tend to be more affected in times of stress. Second, we investigate potential effects that vary with the level of pre-crisis inflation. In this vein, our results reveal that an increase in domestic savings reduces the severity of pressures in countries that experienced a low-inflation environment prior to the crisis. Finally, we find evidence of the mitigating effects of international reserves on the volatility of exchange rate pressures
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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