Exchange Market Pressure and Intervention Index for Pakistan: Evidence from a Time-Varying Parameter Approach

DOI: 10.5176/2010-4804_2.4.246

Authors: Gilal, Muhammad Akrami Chandio, Rafique Ahmad

Abstract:

The paper uses the approach of Weymark (1995) for constructing exchange market pressure and intervention index for Pakistan and to account for potential linearity. A rolling regression indicates unstable real money demand and price equation estimates. Consequently, a Kalman filter approach is used for evaluating the effects of structural changes on parameter constancy. The results indicate unstable real money demand and price equation parameters. The evidence shows downward pressure and active Central Bank intervention. Exchange Market Pressure mean value for the first half is higher than the second half of the sample period suggesting the postreform period as more tranquil.

Keywords: Financial markets, Term structure of interest rate, Central Bank Intervention

citation_author: Gilal
citation_author: Muhammad Akrami Chandio
citation_author: Rafique Ahmad
citation_pdf_url: http://www.downloads.globalstf.org/upload/GBR{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}20Vol{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}202{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}20No{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}204/GBR{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}20Vol{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}202{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}20No{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}204{6e6090cdd558c53a8bc18225ef4499fead9160abd3419ad4f137e902b483c465}20Paper_4.pdf
citation_publication_date: 2013/08/16
citation_title: Exchange Market Pressure and Intervention Index for Pakistan: Evidence from a Time-Varying Parameter Approach

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