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- Patnaik, Ila & Felman, Joshua & Shah, Ajay (2017): An exchange market pressure measure for cross country analysis
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. ... We construct a multi-country dataset for EMP in each month.
RePEc:eee:jimfin:v:73:y:2017:i:pa:p:62-77 Save to MyIDEAS - Patnaik, Ila & Felman, Joshua & Shah, Ajay (2017): An exchange market pressure measure for cross-country analysis
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. ... We construct a multi-country dataset for EMP in each month.
RePEc:npf:wpaper:17/189 Save to MyIDEAS - P. Siklos, D. Waymark (2006): Measuring the Impact of Intervention on Exchange Market Pressure
We introduce an index of ex ante exchange market pressure (EMP) that can be used as a benchmark against which to measure the effectiveness of sterilized intervention. Ex ante EMP is the change in the exchange rate that would be observed if the authorities refrain from intervening and agents correctly anticipate this outcome. Ex post EMP measures exchange market pressure under the policy actually implemented. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia, and find that its effects persist even in quarterly data.
RePEc:wlu:wpaper:eg0048 Save to MyIDEAS - Pierre L. Siklos & Diana N. Weymark (2006): Measuring the Impact of Intervention on Exchange Market Pressure
In this article, we introduce an index of ex ante exchange market pressure (EMP) that can be used as a benchmark against which to measure the effectiveness of sterilized intervention. Ex ante EMP is the change in the exchange rate that would have been observed if the policy authority had refrained from intervening and this policy decision had been correctly anticipated by rational agents. Ex post EMP measures the exchange market pressure under the policy actually implemented by the policy authority. We use a ratio of these two EMP measures to assess the effectiveness of sterilized intervention in Canada and Australia.
RePEc:van:wpaper:0604 Save to MyIDEAS - Mr. Evan C Tanner (1999): Exchange Market Pressure and Monetary Policy: Asia and Latin America in the 1990s
Exchange market pressure (EMP), the sum of exchange rate depreciation and reserve outflows (scaled by base money), summarizes the flow excess supply of money in a managed exchange rate regime. Examining Brazil, Chile, Mexico, Indonesia, Korea, and Thailand, this paper finds that monetary policy affects EMP as generally expected: contractionary monetary policy helps reduce EMP. The monetary policy stance is best measured by domestic credit growth (since interest rates contain both policy- and market-determined elements). In response to higher EMP, monetary authorities boosted domestic credit growth both in Mexico (confirming previous research) and in the Asian countries.
RePEc:imf:imfwpa:1999/114 Save to MyIDEAS - Srdjan Tatomir (2009): Exchange Market Pressure on the Croatian Kuna
A measure of exchange market pressure (EMP) gauges the severity of such tensions. Measuring EMP is important for monetary authorities that manage exchange rates. ... A precise EMP measure is therefore important and this paper re-examines the measurement of EMP on the Croatian kuna. It improves it by considering intervention data and thresholds that account for the EMP distribution. ... A discussion of the results demonstrates a modest improvement over the previous measure and concludes that the new EMP on the Croatian kuna should be used in future research.
RePEc:ipf:finteo:v:33:y:2009:i:2:p:187-199 Save to MyIDEAS - HEGERTY, Scott W. (2014): Exchange Market Pressure And Regional Price Spillovers In Russia, Ukraine, And Belarus
This study examines different measures of Exchange Market Pressure (EMP), which captures currency depreciations and central-bank measures to offset them, for these three countries. ... Impulse response functions and variance decompositions uncover a number of spillovers, particularly when our “benchmark” EMP measure is used.
RePEc:eaa:aeinde:v:14:y:2014:i:2_5 Save to MyIDEAS - Franc Klaassen (2011): Identifying the Weights in Exchange Market Pressure
Exchange market pressure (EMP) measures the pressure on a currency to depreciate.
RePEc:tin:wpaper:20110030 Save to MyIDEAS - Tony Cavoli & Ramkishen S. Rajan (2013): South Asian Exchange Rates Regimes: Fixed, Flexible or Something In-between?
Three commonly employed measures of exchange rate classification are used: a simple exchange market pressure (EMP) measure, a GARCH specification and a regression-based model.
RePEc:sae:soueco:v:14:y:2013:i:1:p:1-15 Save to MyIDEAS - Aftab, Muhammad & Phylaktis, Kate (2022): Economic integration and exchange market pressure in a policy uncertain world
This study examines the influence of economic integration, both real and financial, on exchange market pressure (EMP), along with considering external monetary and economic policy uncertainties. ... By bringing improvements in modeling, and EMP measurement, a time series analysis shows an overall buffering role of real and financial integration on EMP, albeit with a country-level heterogeneity.
RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001048 Save to MyIDEAS