Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence

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Barzegar Marvasti Maryam; SALMANI BEHZAD; Kazerooni Seyed alireza; MOHAMMADZADEH PARVIZ

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Paper Information

Journal: JOURNAL OF APPLIED THEORIES OF ECONOMICS Year:2018 | Volume:5 | Issue:1 Page(s): 159-182

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Title

Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence

Author(s)

Barzegar Marvasti Maryam | SALMANI BEHZAD | Kazerooni Seyed alireza | MOHAMMADZADEH PARVIZ | Issue Writer Certificate

Keywords

Exchange market pressuresQ1

Leading indicators of currency crisisQ1

Bayesian model averagingQ1

Abstract

The purpose of this paper is to determine the most significant leading indicators of the currency crisis in two groups of countries, countries with the floating exchange rate regimes and countries with the non-floating ones. A unique set data that covers 43 countries and their currency crises during 1999-2014 and 64 indicators are used. Moreover, estimation technique that is robust to model uncertainty, i. e. Bayesian model averaging is applied. Two types of the warning systems are used. Therefore, in the first system, warning variables of currency crisis are investigated while in the second ones, determinants of the exchange market pressure volatility are examined. Morever, these systems involve monitoring the evaluation of several leading indicators from the financial, political, structural, trade and other sectors. Overall, the results indicate that Oil price plays a pivotal role as a warning variable in countries with floating exchange rate regimes in both systems. Just the same, for the countries that experienced non-floating exchange rate regime prior to the crisis and during of it, changes in exchange market pressure index is a significant leading indicator of currency crises.

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APA: Copy

Barzegar Marvasti, Maryam, SALMANI, BEHZAD, Kazerooni, Seyed alireza, & MOHAMMADZADEH, PARVIZ. (2018). Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence. JOURNAL OF APPLIED THEORIES OF ECONOMICS, 5(1 ), 159-182. SID. https://sid.ir/paper/408649/en

Vancouver: Copy

Barzegar Marvasti Maryam, SALMANI BEHZAD, Kazerooni Seyed alireza, MOHAMMADZADEH PARVIZ. Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence. JOURNAL OF APPLIED THEORIES OF ECONOMICS[Internet]. 2018;5(1 ):159-182. Available from: https://sid.ir/paper/408649/en

IEEE: Copy

Maryam Barzegar Marvasti, BEHZAD SALMANI, Seyed alireza Kazerooni, and PARVIZ MOHAMMADZADEH, “Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence,” JOURNAL OF APPLIED THEORIES OF ECONOMICS, vol. 5, no. 1 , pp. 159–182, 2018, [Online]. Available: https://sid.ir/paper/408649/en

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