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

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  • Ping Wang
  • Tomoe Moore

Abstract

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. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Ping Wang & Tomoe Moore, 2014. "The determinants of vulnerability to currency crises: country-specific factors versus regional factors," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(4), pages 619-640, November.
    • Handle: RePEc:kap:empiri:v:41:y:2014:i:4:p:619-640
    DOI: 10.1007/s10663-013-9218-y
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    More about this item

    Keywords

    Exchange market pressure; Dynamic factor analysis; New EU member states; Regional factors; F3; 016;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance

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