An exchange market pressure measure for cross-country analysis

Ila Patnaik, Joshua Felman () and Ajay Shah
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Joshua Felman: IMF

Working Papers from National Institute of Public Finance and Policy

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)
Pages: 33
Date: 2017-02
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-mon
Note: Working Paper 189, 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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Journal Article: An exchange market pressure measure for cross country analysis (2017)
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