An Exchange Market Pressure Measure for Cross-Country Analysis
Publication dateFeb, 2017
DetailsNIPFP Working Paper No. 189
AuthorsIla Patnaik, Joshua Felman and Ajay Shah
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.