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An Exchange Market Pressure Measure for Cross-Country Analysis

Publication date

  • फ़र, 2017
  • Details

    NIPFP Working Paper No. 189

    Authors

    Ila Patnaik, Joshua Felman and 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 magni- tude 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.
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