scholarly journals Measuring exchange market pressure in South Africa: an application of the Girton-Roper monetary model

2013 ◽  
Vol 10 (1) ◽  
pp. 89-98 ◽  
Author(s):  
Emmanuel Ziramba
Keyword(s):  
Exchange Rate ◽  
Real Income ◽  
Flexible Exchange Rate ◽  
Exchange Market ◽  
Monetary Model ◽  
Exchange Market Pressure ◽  
African Experience ◽  
Monetary Approach ◽  
The Impact ◽  
Market Pressure

The monetary approach to the balance of payments is based on the assumption of a fixed exchange rate, while its approach to exchange rate determination is based on perfectly flexible exchange rate. Another monetary model called the Exchange Market Pressure model (EMP) was designed to capture the properties of the managed float. This paper applies the monetary model of the EMP to the South African experience with floating exchange rate and managed float systems over the period 1970-1993. We show that the EMP model is superior to the traditional monetary approach. We do not find evidence of the impact of domestic real income on EMP. Diagnostic tests suggest that the model is well specified and the residuals pass the typical checking.

scholarly journals Instrument of Managing Exchange Market Pressure: Money Supply or Interest Rate

2007 ◽  
Vol 46 (4II) ◽  
pp. 381-394
Author(s):  
M. Idrees Khawaja ◽  
Musleh-Ud Din
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Foreign Currency ◽  
Exchange Market ◽  
Foreign Reserves ◽  
Exchange Market Pressure ◽  
Monetary Approach ◽  
Market Pressure ◽  
External Account ◽  
Exchange Rate Depreciation

Exchange market pressure (emp) reflects disequilibrium in money market. The traditional approaches used to examine the disequilibrium in money market include the monetary approach to balance of payments and monetary approach to exchange rate. Under the former approach the variation in foreign reserves helps restore the equilibrium while under the latter one the change in exchange rate does the needful.1 The idea of this study stems from the fact that under the managed float exchange rate regime, changes in foreign reserves or changes in exchange rate in isolation are not a sufficient guide to characterise the external account situation of an economy. For example, exchange rate depreciation can be partially avoided or at least delayed if the central bank injects foreign currency in the forex market by letting its foreign reserves deplete. Alternatively, central bank can build up foreign reserves by purchasing foreign currency from the market against domestic currency. Such intervention would curb the exchange rate appreciation demanded by fundamentals. Therefore, focus on either of the two, that is, movement in exchange rate or variation in foreign reserves, to the complete exclusion of the other, is bound to portray a misleading picture of the external account situation. Given the foregoing a composite variable, that incorporates changes in exchange rate as well as variation in foreign reserves, over a certain period, is needed to characterise the condition of external account. The requisite composite variable has been developed by Girton and Roper (1977) as ‘simple sum of exchange rate depreciation and variation in foreign reserves scaled by monetary base’. They refer to it as exchange market pressure (emp).

MEASURING EXCHANGE RATE FLEXIBLITY: A TWO-PARAMETER EXCHANGE MARKET PRESSURE APPROACH

2012 ◽  
Vol 01 (01) ◽  
pp. 1250007 ◽  
Author(s):  
THOMAS D. WILLETT ◽  
JEFF (YONGBOK) KIM ◽  
ISRIYA NITITHANPRAPAS BUNYASIRI
Keyword(s):  
Exchange Rate ◽  
Exchange Market ◽  
Exchange Market Pressure ◽  
Market Pressure ◽  
Two Parameter

scholarly journals Presión sobre el mercado cambiario en la República Dominicana : una estimación empírica

2002 ◽  
Vol 27 (2) ◽  
pp. 303-12
Author(s):  
José R. Sánchez Fung
Keyword(s):  
American Economic Review ◽  
Exchange Market ◽  
Monetary Model ◽  
Exchange Market Pressure ◽  
Canadian Experience ◽  
Market Pressure

Este trabajo aplica el modelo monetario de Girton y Roper [1977, A monetary model of exchange market pressure applied to the postwar Canadian experience, American Economic Review, Vol. 67, p. 537-48] para analizar la presión sobre el mercado cambiario oficial en la República Dominicana. El modelo describe adecuadamente el comportamiento de ese mercado, explicando la presión cambiaria en el mismo, de una manera razonable.

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

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