Modeling Exchange Market Pressure in East Asian Economies

Evan Lau, Jenny Yong and Nurul Bariyah

A chapter in Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, 2021, vol. 28, pp 263-280 from Emerald Group Publishing Limited

Abstract: This chapter model the factors behind the instability of exchange rate by using exchange market pressure (EMP) index. The authors focus first to construct the EMP and then secondly, test the interrelationship between EMP, real gross domestic product, money supply (M2), consumer price index, trade openness and share price using quarterly data in selected East Asian countries. The empirical results of this study explicitly indicate that EMP is determined by the states of other variables in most of the studied countries. Planning on the macrolevel is essential when managing and ensuring continuous monitoring of the exchange rate condition. This would translate into positive macroeconomic welfare and economic growth sustainability.

Keywords: Exchange market pressure, East Asian, exchange rate volatility, macroeconomic determinants, vector autoregression; variance decompositions; Granger causality (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-038620210000028015

DOI: 10.1108/S1571-038620210000028015

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