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An Exchange Market Pressure Measure for Cross-Country Analysis

Publication date

Feb, 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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