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

被引：0
|
作者：
Wang, Ping [1 ]
Moore, Tomoe [2 ]
机构：
[1] Univ Birmingham, Birmingham Business Sch, Birmingham B15 2TT, W Midlands, England
[2] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England
来源：
EMPIRICA | 2014年 / 41卷 / 04期
关键词：
Exchange market pressure; Dynamic factor analysis; New EU member states; Regional factors; EXCHANGE MARKET PRESSURE; TRANSITION ECONOMIES; STRUCTURAL-CHANGE; EMERGING MARKET; INTERVENTION; INVESTMENT; INDICATORS; CONTAGION; MODEL;
D O I：
10.1007/s10663-013-9218-y
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：619 / 640
页数：22
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