An exchange market pressure measure for cross country analysis
| Autor: | Ila Patnaik, Ajay Shah, Joshua Felman |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Counterfactual thinking
Macroeconomics Measure (data warehouse) Economics and Econometrics 050208 finance 05 social sciences Monetary policy Exchange-rate regime Exchange rate 0502 economics and business Econometrics Economics Currency intervention 050207 economics Construct (philosophy) Foreign exchange risk Finance |
| Zdroj: | Journal of International Money and Finance. 73:62-77 |
| ISSN: | 0261-5606 |
| DOI: | 10.1016/j.jimonfin.2017.02.004 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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