Abstract
The subject of this paper is theoretical and empirical analysis of potential currency crisis in the Republic of Serbia. The main aim of the paper is quantitative analysis of a set of key indicators (index of exchange market pressure, signal-to-noise ratio, misery index, a measure of openness and the monetary measure of openness of the country) that indicate the possibility of a currency crisis. The cyclic character of currency and financial crisis is forcing policymakers to conduct thoughtful exchange rate policy. The aim of this is to prevent the scenario with which the countries of Latin America faced in the late 20th century. Although there is no a significant correlation in terms of international trade transactions between Serbia and the countries of Latin America, we should certainly learn from the experience of these countries. It is necessary to continuously monitor the value of indicators which point to possible distortion. In the paper we use some econometric and statistical tools, such as correlation and regression analysis, to point to the values of indicators which can contribute to early detection of a currency crisis.
Highlights
The subject of this paper is theoretical and empirical analysis of potential currency crisis in the Republic of Serbia
In the paper we use some econometric and statistical tools, such as correlation and regression analysis, to point to the values of indicators which can contribute to early detection of a currency crisis
U cilju što preciznijeg targetiranja perioda u godini u kome se može dogoditi valutna kriza, pored prethodno navedenog indeksa, može se koristi i racio uzbunjivač, koji se nadovezuje na indeks pritiska na devizno tržište i podupire tačnost njegovih podataka
Summary
Kada govorimo o indeksu pritiska na devizno tržište, može se reći da on predstavlja izmereni prosek mesečne stope promene nominalnog deviznog kursa nacionalne valute prema nekoj jačoj stranoj valuti i mesečne stope promene bruto meĎunarodnih deviznih rezervi izraženih u toj jačoj stranoj valuti. U cilju što preciznijeg targetiranja perioda u godini u kome se može dogoditi valutna kriza, pored prethodno navedenog indeksa, može se koristi i racio uzbunjivač (signal-to-noise ratio – STNR), koji se nadovezuje na indeks pritiska na devizno tržište i podupire tačnost njegovih podataka. Zato se visoka vrednost ovog indeksa, koji za Srbiju iznosi oko 1,05, ne može shvatiti kao relevantna (visoka vrednost indikatora u grupi zemalja sa sličnim brojem stanovnika ukazuje na visoku uvoznu zavisnost, jer je prosek za takvu grupu zemalja malo viši od 0,5), dok se ne pogleda monetarna mera otvorenosti zemlje. Prosek monetarne otvorenosti ovih zemalja je oko 175%, što s obzirom na rezultat naše zemlje, ukazuje da je srpska privreda i te kako zavisna od meĎunarodne interakcije sa drugim zemljama (strane direktne investicije), priliva stranog kapitala i da se upravo zbog toga mora paziti od moguće valutne krize. Kao što se može i videti, presudnu ulogu u modelu klauzule izlaza nemaju samo makroekonomske varijable, već i promene u očekivanjima ekonomskih subjekata
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