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An exchange market pressure measure for cross country analysis
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Journal of International Money and FinanceAuthors
IIa Patnaik, Joshua Felman & Ajay ShahAbstract
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.