Searching for Indicators of Foreign Exchange Market Pressure: Evidence from Greece

Costas Karfakis and Demetrios Moschos

International Journal of Finance & Economics, 1999, vol. 4, issue 1, 63-73

Abstract: This paper uses vector autoregressive (VAR) techniques to examine the indicator properties of a number of macroeconomic variables with respect to foreign exchange (FX) market pressure in Greece during the period 1975-95. The framework of analysis is also used to assess the relative importance of the associated shocks as sources of fluctuations in the FX market pressure index (FXI). The Granger causality results show that the real overvaluation of the drachma, the reserves adequacy ratio, the current account balance and the net capital movements have predictive power with respect to the FX market pressure. The results of variance and historical decompositions show that shocks attributable to real overvaluation, the reserve adequacy ratio and the net capital movements are the dominant sources of volatility in the FXI. Copyright @ 1999 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:4:y:1999:i:1:p:63-73

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().