The Leading eBooks Store Online 4,272,009 members ⚫ 1,419,367 ebooks

New to eBooks.com?

Learn more

A Markov-Switching Approach to Measuring Exchange Market Pressure

A Markov-Switching Approach to Measuring Exchange Market Pressure by Francis Y. Kumah
Buy this eBook
US$ 9.00
(If any tax is payable it will be calculated and shown at checkout.)
This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical results identify episodes of exchange market pressure in the Kyrgyz Republic and confirm the statistical superiority of the nonlinear regime-switching model over a linear VAR version in understanding exchange market pressure. The nonlinear empirical approach adequately characterizes the data generation process and yields results that are consistent with theoretical predictions, particularly the dampening effect of monetary contraction on depreciation pressure. During periods of appreciation pressure, however, the reverse policy option-monetary expansion-may not be efficient, particularly where PPP rather than UIP drives exchange rates. In addition, monetary expansion in such cases defeats the primary objective of monetary policy-price stability-and may exacerbate the instability.
International Monetary Fund; October 2007
26 pages; ISBN 9781452711768
Read online, or download in secure EPUB or secure PDF format
Title: A Markov-Switching Approach to Measuring Exchange Market Pressure
Author: Francis Y. Kumah
 
ISBNs
1451912587
9781451868050
9781451912586
9781452711768