| Description |
1 online resource (26 pages) : illustrations |
| Series |
IMF working paper ; WP/07/242 |
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IMF working paper ; WP/07/242.
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| Contents |
I. INTRODUCTION; II. DEFINING EXCHANGE MARKET PRESSURE; A.A WORKING DEFINITION; B. THE THEORY; Tables; 1. Characterizing Exchange Market Pressure; III. CHARACTERIZING EXCHANGE MARKET PRESSURE; A. STYLIZED FACTS FROM THE DATA; Figures; 1. Kyrgyz Republic: Consumer Prices, Net Foreign Reserves and Exchange Rates, 1996-2006; B. CONGRUENT REPRESENTATION OF THE DATA; C. EMPIRICAL RESULTS; 2. Kyrgyz Republic: Dating Exchange Market Pressure, 1995-2006; 2. Maximum Likelihood Estimation Results, 1996-2006; 3. Regime Properties of Exchange Market Pressure, 1996-2006; 3. Regime Probabilities |
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4. Regime-dependent Impulse Response Functions5. Response of the System after Regime Shifts; IV. Conclusion; APPENDIX I. DATA SOURCES AND TRANSFORMATIONS; Appendices; I. Data Sources and Transformations; APPENDIX II. MODEL PERFORMANCE AND DURATION PROBABILITIES; II. Model Performance and Duration Probabilities; References |
| Summary |
This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical results identify episodes of exchange market pressure in the Kyrgyz Republic and confirm the statistical superiority of the nonlinear regime-switching model over a linear VAR version in understanding exchange market pressure. The nonlinear empirical approach adequately characterizes the data generation process and yields results that are consistent with theoretical predictions, particularly the dampening effect of monetary contraction on depreciation pressure. During periods of appreciation pressure, however, the reverse policy option-monetary expansion-may not be efficient, particularly where PPP rather than UIP drives exchange rates. In addition, monetary expansion in such cases defeats the primary objective of monetary policy-price stability-and may exacerbate the instability |
| Notes |
"October 2007." |
| Bibliography |
Includes bibliographical references |
| Notes |
English |
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Print version record |
| Subject |
Foreign exchange market -- Kyrgyzstan -- Econometric models
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Markov processes.
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Monetary policy -- Kyrgyzstan -- Econometric models
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Foreign exchange market -- Econometric models
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Markov processes
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Monetary policy -- Econometric models
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Kyrgyzstan
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| Form |
Electronic book
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| Author |
International Monetary Fund. Middle East and Central Asia Department, issuing body.
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| ISBN |
1283512130 |
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9781283512138 |
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9781451912586 |
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1451912587 |
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1462393152 |
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9781462393152 |
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1452711763 |
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9781452711768 |
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9786613824585 |
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6613824585 |
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