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An exchange market pressure measure for cross country analysis

Author

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  • Patnaik, Ila
  • Felman, Joshua
  • Shah, Ajay

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.

Suggested Citation

  • Patnaik, Ila & Felman, Joshua & Shah, Ajay, 2017. "An exchange market pressure measure for cross country analysis," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 62-77.
    • Handle: RePEc:eee:jimfin:v:73:y:2017:i:pa:p:62-77
    DOI: 10.1016/j.jimonfin.2017.02.004
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    More about this item

    Keywords

    Exchange rate regime; Capital flows; Currency wars; Monetary policy; Exchange market pressure; Statistical system;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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