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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of International Money and Finance

ISSN

0261-5606

e-ISSN

—

Svazek periodika

40

Číslo periodika v rámci svazku

February

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

21

Strana od-do

21-41

Kód UT WoS článku

000327806900002

EID výsledku v databázi Scopus

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