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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:73:y:2017:i:pa:p:62-77
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 Nithya Sathishkumar ().