Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence From Emerging Markets
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Summary:
This paper extends my previous work by examining the relationship between monetary policy and exchange market pressure (EMP) in 32 emerging market countries. EMP is a gauge of the severity of crises, and part of this paper specifically analyzes crisis periods. Two variables gauge the stance of monetary policy: the growth of central bank domestic credit and the interest differential (domestic versus U.S. dollar). Evidence suggests that monetary policy plays an important role in currency crises. And, in most countries the shocks to monetary policy affect EMP in the direction predicted by traditional approaches: tighter money reduces EMP.
Series:
Working Paper No. 2002/014
Subject:
Currency markets Domestic credit Econometric analysis Exchange rate arrangements Financial markets Foreign exchange Monetary base Money Vector autoregression
English
Publication Date:
January 1, 2002
ISBN/ISSN:
9781451843132/1018-5941
Stock No:
WPIEA0142002
Pages:
54
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