About: Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.sciencedirect.com/science/article/pii/S026156061300123X
Description	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 an increase in domestic savings reduces the severity of pressures in countries that experienced a low-inflation environment prior to the crisis. Finally, we find evidence of the mitigating effects of international reserves on the volatility of exchange rate pressures 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 an increase in domestic savings reduces the severity of pressures in countries that experienced a low-inflation environment prior to the crisis. Finally, we find evidence of the mitigating effects of international reserves on the volatility of exchange rate pressures (en)
Title	Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence (en)
skos:prefLabel	Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence Exchange Market Pressures during the Financial Crisis : A Bayesian Model Averaging Evidence (en)
skos:notation	RIV/00216208:11230/14:10281710!RIV15-MSM-11230___
http://linked.open...avai/riv/aktivita	I S
http://linked.open...avai/riv/aktivity	I, S
http://linked.open...iv/cisloPeriodika	February
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Horváth, Roman Rusnák, Marek
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	15674
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/14:10281710
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Financial crisis; Exchange market pressures (en)
http://linked.open.../riv/klicoveSlovo	Financial crisis Exchange market pressures
http://linked.open...odStatuVydavatele	GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV	[BE01CA93F963]
http://linked.open...i/riv/nazevZdroje	Journal of International Money and Finance
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	40
http://linked.open...iv/tvurceVysledku	Horváth, Roman Rusnák, Marek Feldkircher, Martin
http://linked.open...ain/vavai/riv/wos	000327806900002
issn	0261-5606
number of pages	21 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.jimonfin.2013.08.021
http://localhost/t...ganizacniJednotka	11230

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