文章基本信息

标题：ESTIMATION OF THE EXCHANGE MARKET PRESSURE IN THE EU4 COUNTRIES:A MODEL-DEPENDENT APPROACH
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作者：Daniel Stavárek
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2007
卷号：4
期号：3
页码：80-94
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper estimates the exchange market pressure(EMP)on currencies of EU4 countries (Czech Republic,Hungary,Poland,Slovakia)during the period of 1993-2005.Therefore,it is one of a very few studies focused on this region and the very first paper applying the model-dependent approach to the EMP estimation on these countries.Moreover,the model proposed by Spolander (1999)is used in the paper along with quarterly data.Thus,this paper,tests the suitability of this model for the countries analyzed.Regarding the results obtained,EMP is of similar magnitude in all countries except Poland.We found that EMP was significantly lower and less volatile during the periods when a floating exchange rate arrangement was applied than in periods with fixed exchange rates.It implies that unavoidable entry into ERM II(a quasi-fixed regime)could lead to the EMP increase during the period of the exchange rate stability criterion fulfillment.Hence,a revi?sion of the current definition and understanding of the criterion fulfillment is suggested.Since the model estimation was burdened by some factors reducing the estimates validity we also propose some modifications and extensions of the methodology applied.
关键词：exchange market pressure;model-dependent approach;EU New Member States;exchange rate stability criterion.