Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries
In this study, structural vector autoregression (SVAR) models are used to analyze the asymmetric effects of external and internal economic factors on the exchange market pressure index (EMPI) in the Czech Republic, Iceland, Poland, and Russia. Along with the forecast error variance decompositions (F...
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ftistanbuluniv:oai:http://acikerisim.istanbul.edu.tr:20.500.12627/97861 2023-05-15T16:47:31+02:00 Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries Ozcelebi, Oğuzhan İstanbul Üniversitesi , İktisat Fakültesi , İktisat Bölümü 87097 2021-03-04T19:41:58Z https://hdl.handle.net/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 eng eng NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE Ozcelebi O., "Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries", NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, cilt.48, ss.498-513, 2019 1062-9408 vv_1032021 av_9107801d-392e-4fbd-b3f1-a6dc96407238 http://hdl.handle.net/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 48 498 513 İŞ FİNANSI Çalışma Ekonomisi Çalışma Ekonomisi ve Endüstri ilişkileri İktisat Sosyal ve Beşeri Bilimler EKONOMİ Sosyal Bilimler (SOC) Ekonomi ve İş Makale 2021 ftistanbuluniv https://doi.org/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 2022-08-10T13:10:08Z In this study, structural vector autoregression (SVAR) models are used to analyze the asymmetric effects of external and internal economic factors on the exchange market pressure index (EMPI) in the Czech Republic, Iceland, Poland, and Russia. Along with the forecast error variance decompositions (FEVDs) of the SVAR models and slope-based asymmetry tests suggesting that there may be asymmetric effects on EMPI, impulse response functions (IRFs) of SVAR models for the Czech Republic and Poland indicated that improvements in the current account balance will reduce the exchange market pressure (EMP), whereas deterioration of the current account balance may create a more serious speculative attack potential in Iceland and Poland, due to the high ratio of debt to GDP. Changes in inflation may have significant asymmetric effects on the EMP; more precisely, it was found that high inflation and the interest rate environment will increase the pressure on the exchange rate in all four economies. My findings indicate that decreases in inflation rates did not reduce the EMPI in Iceland and Russia, whereas the decline in interest rates did not constitute the necessary environment for capital inflows in any of the four countries. It is also implied that, due to the changes in long-term interest rates, the formation of the expectation of depreciation of the home currency is easier than the formation of the expectation of appreciation. Furthermore, I reveal that credit conditions in the United States of America (USA) could affect global crisis expectations and thus have asymmetrical effects. Article in Journal/Newspaper Iceland İstanbul Üniversitesi Açık Erişim Sistemi The North American Journal of Economics and Finance 48 498 513 |
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İstanbul Üniversitesi Açık Erişim Sistemi |
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ftistanbuluniv |
language |
English |
topic |
İŞ FİNANSI Çalışma Ekonomisi Çalışma Ekonomisi ve Endüstri ilişkileri İktisat Sosyal ve Beşeri Bilimler EKONOMİ Sosyal Bilimler (SOC) Ekonomi ve İş |
spellingShingle |
İŞ FİNANSI Çalışma Ekonomisi Çalışma Ekonomisi ve Endüstri ilişkileri İktisat Sosyal ve Beşeri Bilimler EKONOMİ Sosyal Bilimler (SOC) Ekonomi ve İş Ozcelebi, Oğuzhan Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
topic_facet |
İŞ FİNANSI Çalışma Ekonomisi Çalışma Ekonomisi ve Endüstri ilişkileri İktisat Sosyal ve Beşeri Bilimler EKONOMİ Sosyal Bilimler (SOC) Ekonomi ve İş |
description |
In this study, structural vector autoregression (SVAR) models are used to analyze the asymmetric effects of external and internal economic factors on the exchange market pressure index (EMPI) in the Czech Republic, Iceland, Poland, and Russia. Along with the forecast error variance decompositions (FEVDs) of the SVAR models and slope-based asymmetry tests suggesting that there may be asymmetric effects on EMPI, impulse response functions (IRFs) of SVAR models for the Czech Republic and Poland indicated that improvements in the current account balance will reduce the exchange market pressure (EMP), whereas deterioration of the current account balance may create a more serious speculative attack potential in Iceland and Poland, due to the high ratio of debt to GDP. Changes in inflation may have significant asymmetric effects on the EMP; more precisely, it was found that high inflation and the interest rate environment will increase the pressure on the exchange rate in all four economies. My findings indicate that decreases in inflation rates did not reduce the EMPI in Iceland and Russia, whereas the decline in interest rates did not constitute the necessary environment for capital inflows in any of the four countries. It is also implied that, due to the changes in long-term interest rates, the formation of the expectation of depreciation of the home currency is easier than the formation of the expectation of appreciation. Furthermore, I reveal that credit conditions in the United States of America (USA) could affect global crisis expectations and thus have asymmetrical effects. |
author2 |
İstanbul Üniversitesi , İktisat Fakültesi , İktisat Bölümü 87097 |
format |
Article in Journal/Newspaper |
author |
Ozcelebi, Oğuzhan |
author_facet |
Ozcelebi, Oğuzhan |
author_sort |
Ozcelebi, Oğuzhan |
title |
Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
title_short |
Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
title_full |
Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
title_fullStr |
Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
title_full_unstemmed |
Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries |
title_sort |
assessment of asymmetric effects on exchange market pressure: empirical evidence from emerging countries |
publishDate |
2021 |
url |
https://hdl.handle.net/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE Ozcelebi O., "Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries", NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, cilt.48, ss.498-513, 2019 1062-9408 vv_1032021 av_9107801d-392e-4fbd-b3f1-a6dc96407238 http://hdl.handle.net/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 48 498 513 |
op_doi |
https://doi.org/20.500.12627/97861 https://doi.org/10.1016/j.najef.2019.03.016 |
container_title |
The North American Journal of Economics and Finance |
container_volume |
48 |
container_start_page |
498 |
op_container_end_page |
513 |
_version_ |
1766037604912857088 |