摘要：Currency crises, credit growth, and output growth have been extensively examined in the literature, but so far, less has been done to explicitly examine the linkages among these variables. Previous studies have also frequently omitted non-crisis periods in their analyses. This study creates continuous monthly indices of Exchange Market Pressure (EMP) for eight emerging markets and three developed economies, from 2001 to 2012. We then use Vector Autoregressive methods to examine the impact of credit growth and output growth on EMP before reversing causation to isolate EMP's effects on the other two variables. We find that the interactions among these variables are far more prevalent for the emerging markets. In particular, output growth increases EMP in Brazil and South Africa, while credit growth increases EMP in Hungary and reduces it in Mexico. Higher EMP reduces credit growth in Brazil, Hungary, and Turkey, and lowers growth in Russia.
关键词：Exchange Market Pressure; Credit Growth; Output; Time Series; Vector Autoregression
