A General Approach to Measuring Exchange Market Pressure

Diana Weymark ()

Oxford Economic Papers, 1998, vol. 50, issue 1, 106-21

Abstract: This article introduces a general methodology for constructing summary statistics that can be used to measure the magnitude, frequency, and persistence of currency crises. A general, model-independent definition of exchange market pressure is proposed and used to derive model-consistent exchange market pressure indices that can be calculated from observed data. The method of deriving model-consistent indices of exchange market pressure is illustrated using a model of a small open economy with rational expectations. Copyright 1998 by Royal Economic Society.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:50:y:1998:i:1:p:106-21

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