A general approach to measuring exchange market pressure

Diana N. Weymark

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Economic Theory and Policy

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.

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References

1983Empirical exchange rate models of the seventies 1995Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks 1976A Monetary Model of Exchange Market Pressure Applied to the Post-War Canadian Experience 1994Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System 1995Estimating exchange market pressure and the degree of exchange market intervention for Canada 1980Optimal Exchange Market Intervention in a Simple Stochastic Macro Model

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