Feldkircher, Martin
[VerfasserIn]
;
Horvath, Roman
[Sonstige Person, Familie und Körperschaft];
Rusnák, Marek
[Sonstige Person, Familie und Körperschaft]
Exchange Market Pressures During the Financial Crisis
Erschienen in:BOFIT Discussion Paper ; No. 11/2013
Umfang:
1 Online-Ressource (27 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2289755
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 29, 2013 erstellt
Beschreibung:
In this paper, we examine whether pre-crisis leading indicators help explain pressures on the exchange rate (and its volatility) during the global financial crisis. We use a unique data set that covers 149 countries and 58 indicators, and estimation techniques that are robust to model uncertainty. Our results are threefold: First and foremost, we find that price stability plays a pivotal role as a determinant of exchange rate pressures. More specifically, the currencies of countries that experienced higher inflation prior to the crisis tend to be more affected in times of stress. Second, we investigate potential effects that vary with the level of pre-crisis inflation. In this vein, our results reveal that domestic savings reduce the severity of pressures in countries that experienced a low-infation environment prior to the crisis. Finally, we find evidence of the mitigating effects of international reserves on the volatility of exchange rate pressures