An Exchange Market Pressure Measure for Cross-Country Analysis
Publication date
फ़र, 2017Details
NIPFP Working Paper No. 189Authors
Ila Patnaik, Joshua Felman and 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 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.