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

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 f...

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Published in:GSTF business review (GBR) 2013-07, Vol.2 (4), p.18
Main Authors: Gilal, Muhammad Akram, Chandio, Rafique Ahmad
Format: Article
Language:English
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Central banks
Indexes
Regression analysis
Securities markets
Studies
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description 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 post-reform period as more tranquil. [PUBLICATION ABSTRACT]
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subjects Central banks
Indexes
Regression analysis
Securities markets
Studies
title Exchange Market Pressure and Intervention Index for Pakistan: Evidence from a Time-Varying Parameter Approach
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