scholarly journals Determinan of Exchange Market Pressure in ASEAN Inflation Targeting Countries

2020 ◽  
Vol 16 (1) ◽  
pp. 18-32
Author(s):  
Lisa Gusmanita ◽  
Nury Effendi ◽  
Rudi Kurniawan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Capital Flows ◽  
Foreign Exchange Market ◽  
Inflation Targeting ◽  
Panel Data Analysis ◽  
Exchange Market ◽  
Exchange Market Pressure ◽  
Domestic Credit ◽  
Market Pressure

 Abstract: The global economic turmoil on domestic economy was seen in 1997/1998 crisis which led to Thailand, Philippines and Indonesia implementing Inflation Targeting (IT). Empirically, IT was able to reduce  foreign exchange market pressure but crisis occurred again in 2008 and large foreign exchange market pressure in 2018. This study uses Exchange Market Pressure (EMP) to examines foreign exchange market pressure in ASEAN IT countries. According to Panday (2015), EMP is percentage change in exchange rate, foreign exchange reserve, interest rate or combinations. This study aims to find determinant of EMP which can be used by monetary authority controlling pressure on foreign exchange market. Panel data analysis during 2010.Q1-2018.Q4 shows that domestic credit has significant negatively effect to EMP which indicates that domestic credit growth is in line with  increasing  net capital flows. Current account and US inflation have significant negatively effect while real GDP does not have significant.Keywords: Exchange Market Pressure, EMP, Exchange Rate, Monetary PolicyDeterminan Exchange Market Pressure Negara Inflation Targeting di ASEANAbstrak: Gejolak perekonomian global terhadap perekonomian domestik terlihat pada krisis 1997/1998 yang menyebabkan Thailand, Filipina dan Indonesia menerapkan Inflation Targeting (IT). Secara empiris, IT mampu menurunkan tekanan pasar valas akan tetapi krisis kembali terjadi di 2008 dan tekanan pasar valas yang besar di 2018. Penelitian ini menggunakan Exchange Market Pressure (EMP) untuk melihat seberapa besar tekanan terhadap pasar valas negara IT di ASEAN. Menurut Panday (2015), EMP adalah persentase perubahan nilai tukar, perubahan cadangan devisa, perubahan suku bunga dan atau kombinasinya. Penelitian ini bertujuan ingin mengetahui faktor-faktor apa saja yang memengaruhi EMP sehingga dapat dijadikan masukan bagi otoritas moneter dalam mengendalikan tekanan terhadap pasar valas. Penelitian ini menggunakan analisis regresi data panel periode 2010.Q1-2018.Q4. Penelitian menunjukkan kredit domestik signifikan negatif memengaruhi EMP. Hal ini tidak sesuai teori yang mengindikasikan bahwa pertumbuhan kredit domestik sejalan dengan peningkatan net capital flows. Transaksi neraca berjalan dan inflasi AS berpengaruh signifikan negatif sedangkan PDB riil tidak berpengaruh signifikan terhadap EMP.Kata kunci: Exchange Market Pressure, EMP, Nilai Tukar, Kebijakan Moneter

scholarly journals Pressure Measurement on the Foreign Exchange Market and Currency Crises in Morocco

2021 ◽  
pp. 49-61
Author(s):  
ICHOU Mohammed Adil ◽  
RASSAM Driss ◽  
ABBADI Idriss ◽  
ELHIRI Abderrazak
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Currency Crises ◽  
Foreign Exchange Market ◽  
Nominal Exchange Rate ◽  
Exchange Market ◽  
Foreign Exchange Reserves ◽  
Exchange Market Pressure ◽  
Pressure Index ◽  
Market Pressure

This article aims to assess the pressure upon the official currency of the Kingdom of Morocco - the Dirham - and to detect the periods of crisis on the foreign exchange market. Several methods can be used for this purpose especially the Exchange Market Pressure Index, which is considered as an excellent predictive indicator that takes into account both changes in nominal exchange rate and foreign exchange reserves. In term of results, the pressures on the Moroccan foreign exchange market stem mainly from a substantial decrease in foreign exchange reserves combined with a high deficit of the current account of the balance of payments deficit. In the last part of this article, a logistic model was used to forecast the EMPI for the end of the year 2020. The results of this modeling showed that the pressure on the Moroccan foreign exchange market remained generally under control during the year, although its signs could be felt particularly in the fourth quarter. These results were corroborated by the 2020 officially published figures. Keywords: Foreign exchange market, Exchange Market Pressure Index, Exchange rate, Foreign exchange reserves.

scholarly journals Exchange Market Pressure and Monetary Policy: The Turkish Case

Ekonomika ◽  
2020 ◽  
Vol 99 (1) ◽  
pp. 110-130
Author(s):  
Ilyas Siklar ◽  
Aysegul Akca
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Credit Expansion ◽  
Causality Test ◽  
Exchange Market Pressure ◽  
Pressure Index ◽  
Domestic Credit ◽  
Market Pressure

The purpose of this study is to determine the relationship between monetary policy and the exchange market pressure index in Turkey for the 2002–2018 period with monthly data. To obtain the foreign exchange market pressure index, this study uses the model developed by L. Girton and D.E. Roper and is based fundamentally on the monetary approach to exchange rate determination and the balance of payments. The calculated exchange market pressure index is in accordance with the developments lived in financial markets and changes in monetary policy during the period under investigation. As for the relation between exchange market pressure index and monetary policy, a VAR model was set up and a Granger type causality analysis was carried out. According to Granger causality test results, there is a unidirectional causality running from domestic credit expansion to exchange market pressure and from domestic credit expansion to interest rate differential while there is a bidirectional causality between exchange market pressure and interest rate differential. Since increasing exchange market pressure means a depreciation of the Turkish Lira, the estimated VAR model’s results support the view that the Central Bank will increase the interest rate to temper the exchange market pressure.

scholarly journals Foreign exchange market pressure index and monetary policy in Iraq

2018 ◽  
Vol 63 (219) ◽  
pp. 61-82
Author(s):  
Ammar Khalaf
Keyword(s):  
Monetary Policy ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Series Data ◽  
Policy Intervention ◽  
Exchange Market ◽  
Exchange Market Pressure ◽  
Pressure Index ◽  
Market Pressure

This paper?s aims are to adequately measure a foreign exchange market pressure index that can be used to discover pressures in the Iraqi foreign exchange market early on, and to examine the effect of monetary policy intervention in the Iraqi foreign exchange market. The modelling approach used is Autoregressive Distributed Lag (ARDL), with monthly time series data spanning 2013-2017. The index used in this paper was able to identify different periods of pressure in the Iraqi foreign exchange market. In addition, the econometric analysis found that the traditional proxies for monetary policy intervention in the foreign exchange market, such as domestic credit and money multiplier, were ineffective in the case of Iraq. The results show that the Central Bank of Iraq (CBI) relied extensively on foreign reserves to mitigate pressures in the foreign exchange market. Due to the nature of the Iraqi economy and where the main source of foreign currency is oil exports, the CBI adopted a fixed exchange rate regime to control inflationary expectations and stabilize the foreign exchange market.

scholarly journals EXCHANGE MARKET PRESSURE PENDETEKSI KRISIS KEUANGAN DI INDONESIA

2015 ◽  
Vol 4 (1) ◽  
pp. 19
Author(s):  
Khairul Azhar ◽  
Hasdi Aimon ◽  
Selli Nelonda
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Foreign Exchange ◽  
Warning System ◽  
Real Effective Exchange Rate ◽  
Exchange Market ◽  
Foreign Exchange Reserves ◽  
Exchange Market Pressure ◽  
Using Data ◽  
Market Pressure

This study aimed to analyze: (1) Probability of Real Effective Exchange Rate, Foreign Exchange Reserves, Export, Import, loan to deposit ratio, Return to the assets of the financial crisis in Indonesia. Using data from the years 1995 to 2014 times series. This research is using Early warning system using econometric approach, through the Exchange Market Pressure (EMP). These results indicate: (1) Real Exchange Rate Efecctive have significant opportunities to the financial crisis. (2) The foreign exchange reserves have significant opportunities to the financial crisis. (3) Exports have significant opportunities to the financial crisis. (4) imports did not have significant opportunities to financial krissi. (5) The loan to deposit ratio has a significant opportunity to the financial crisis. (6) Return to Asset does not have significant opportunities to the financial crisis. (7) Real Efecctive Exchange Rate, foreign exchange reserves, exports, imports, loan to deposit ratio and Return to Asset jointly chance against the financial crisis in Indonesia.Keyword  : Exchange Market Pressure, Early Waring System crises

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