An exchange market pressure measure for cross country analysis

Ila Patnaik, Joshua Felman and Ajay Shah

Journal of International Money and Finance, 2017, vol. 73, issue PA, 62-77

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 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.

Keywords: Exchange rate regime; Capital flows; Currency wars; Monetary policy; Exchange market pressure; Statistical system (search for similar items in EconPapers)
JEL-codes: E52 F31 F32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560617300207
Full text for ScienceDirect subscribers only

Related works:
Working Paper: An exchange market pressure measure for cross-country analysis (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:73:y:2017:i:pa:p:62-77

DOI: 10.1016/j.jimonfin.2017.02.004

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().