Monetary policy and exchange market pressure: The case of the Philippines

Gochoco-Bautista, Maria Socorro; Bautista, Carlos C.

doi:10.1016/j.jmacro.2003.09.006

Cited by 22 publications

(17 citation statements)

References 19 publications

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“…Aizenman and Hutchison (2012) revealed that emerging markets with higher total foreign liabilities are at a higher risk of global financial crisis. The external factors found to drive EMP include volatile capital inflows such as non-FDI inflows, FDI inflows, capital controls, and interest rate differential (see also Aizenman & Binici, 2016;Aizenman & Hutchison, 2012;Feldkircher, Horvath, & Rusnak, 2014;Gochoco-Bautista & Bautista, 2005;Hegerty, 2012).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Exchange market pressure is also driven by domestic factors, which include price stability, domestic savings, domestic credit growth, devaluation expectations, monetary policy, and fiscal deficit (Akram & Byrne, 2015;Bird & Mandilaras, 2006;Feldkircher et al, 2014;Gochoco-Bautista & Bautista, 2005 ;Hallwood & Marsh, 2004;Hegerty, 2012;Panday, 2015). Sequel to all these determinants of the EMP in the literature, it is considered as a key variable in international finance.…”

Section: Literature Reviewmentioning

confidence: 99%

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Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality

2019

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This study examines the causal relationships between exchange market pressure and both global and domestic economic policy uncertainty among the Brazil, Russia, India, and China economies. We employed the bootstrap panel Granger causality approach, having found cross-sectional dependency among the countries as an indicator of their mutual developmental characteristics. The individual country analysis shows that, between exchange market pressure and global economic policy uncertainty, only China has bidirectional causality, while no causality was found for Russia. Between exchange market pressure and domestic economic policy uncertainty, India and Russia have bidirectional causality. Domestic economic policy uncertainty does not matter for China's exchange market pressure; therefore, China has one-way causality from exchange market pressure to domestic economic policy uncertainty. Overall, in these countries, exchange market pressure is influenced by global economic policy uncertainty while both exchange market pressure and domestic economic policy uncertainty mutually interact to influence each other.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality

2019

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“…Unsuccessful episodes – such as the one in Hong Kong – cannot be tested using time‐series techniques because, having retained stability, the exchange rate would show no significant response to monetary policy even though monetary policy had been critical for defending the currency. As a result of these concerns, and following Tanner (2001, 2002) and Gochoco‐Bautista and Bautista (), we use exchange‐market pressure as the indicator of speculation in place of the exchange rate.…”

Section: Exchange‐market Pressurementioning

confidence: 99%

Hong Kong's Currency Crisis: A Test of the 1990s ‘Washington Consensus’ View

Harake

Meade

2014

International Finance

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In the aftermath of the financial crisis that rocked Southeast Asia in 1997-98, prominent scholars argued that the advice dispensed by the International Monetary Fund and supported by the policy community in Washington had exacerbated rather than stabilized the crisis. In this paper, we look back at that debate by using Hong Kong's experience during the Asian financial crisis to test the then-consensus view on monetary tightening against the revisionist view of its critics. Hong Kong provides an interesting test of the two approaches because monetary policy was tightened and the pre-crisis exchange rate survived the speculative attack intact, in contrast to other studies that have examined the effects of tighter monetary policy during attacks that led to changes in exchange-rate management. Using a model of exchange-market pressure and VAR estimation, we find that our results are generally supportive of the revisionist hypothesis.

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“…Their results are somewhat more mixed than Tanner's. Finally, Gochoco‐Bautista and Bautista (2005) investigate the relationships between monetary policy and EMP in the case of the Philippines, and test for the existence of different results before and after the currency crises of 1997–98. They conclude that the responses of monetary policy to EMP were more contractionary in the crisis period; also, that the effect of interest rates on EMP was negative in the tranquil period, but positive in the crisis period.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Like Tanner (2001), Kamaly and Erbil (2000), and Gochoco‐Bautista and Bautista (2005), we consider that domestic credit growth is more “exogenous” than EMP or the interest rate change. We place economic growth above all of them in view of the results of the Granger‐causality test (see below), which shows how in the Argentinean case, GRAR was the most exogenous of all the variables in the VAR.…”

Section: An Empirical Application To Argentinamentioning

confidence: 99%

Exchange Market Pressure, Monetary Policy, and Economic Growth: Argentina, 1993–2004

Fernández-Muro¹,

Malet²

2007

The Developing Economies

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The exchange market pressure (EMP) against a currency has been frequently measured as the sum of the loss of international reserves plus the loss of nominal value of that currency. This paper follows the tradition of investigating the interactions between such a measure of EMP and monetary policy; but it also questions the usual omission of output growth in empirical investigations. The focus of this work is Argentina between 1993 and 2004. As in previous studies, we found some evidence of a positive and double-direction relationship between EMP and domestic credit. But output growth also played a role in the determination of EMP, even more than domestic credit or interest rates. Also, there is some evidence that EMP affected growth negatively.

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Monetary policy and exchange market pressure: The case of the Philippines

Cited by 22 publications

References 19 publications

Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality

Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality

Hong Kong's Currency Crisis: A Test of the 1990s ‘Washington Consensus’ View

Exchange Market Pressure, Monetary Policy, and Economic Growth: Argentina, 1993–2004

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