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An exchange market pressure measure for cross country analysis

Publication date

  • फ़र, 2017
  • Details

    Journal of International Money and Finance

    Authors

    IIa Patnaik, Joshua Felman & Ajay Shah

    Abstract

    EMP measures in the existing literature are oriented towards applications in crisis dating and prediction. We propose a modified EMP measure where cross-country comparisons are possible. This is the sum of the observed change in the exchange rate with an estimated counterfactual of the magnitude of the change in the exchange rate associated with the observed currency intervention. We construct a multi-country dataset for EMP in each month. This opens up many new research possibilities.