The determinants of vulnerability to currency crises: country-specific factors versus regional factors

Ping Wang () and Tomoe Moore ()

Empirica, 2014, vol. 41, issue 4, 619-640

Abstract: We investigate the determinants of exchange market pressures (EMP) for some new EU member states at both the national and regional levels, where macroeconomic and financial variables are considered as potential sources. The regional common factors are extracted from these variables by using dynamic factor analysis. The linear empirical analysis, in general, highlights the importance of country-specific factors to defend themselves against vulnerability in their external sectors. Yet, given a significant impact of the common component in credit on EMP, a contagion effect is apparent through the conduit of credit market integration across these countries under investigation. Copyright Springer Science+Business Media New York 2014

Keywords: Exchange market pressure; Dynamic factor analysis; New EU member states; Regional factors; F3; 016 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10663-013-9218-y

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