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A General Approach to Measuring Exchange Market Pressure

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Author Info
Weymark, Diana N

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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. Copyright 1998 by Royal Economic Society.

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Publisher Info
Article provided by Oxford University Press in its journal Oxford Economic Papers.

Volume (Year): 50 (1998)
Issue (Month): 1 (January)
Pages: 106-21
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Handle: RePEc:oup:oxecpp:v:50:y:1998:i:1:p:106-21

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  1. Shakila Jeisman, 2004. "Exchange Market Pressure in Australia," School of Economics and Finance Discussion Papers and Working Papers Series 183, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  2. Stavarek, Daniel, 2007. "Comparative analysis of the exchange market pressure in Central European countries with the Eurozone membership perspective," MPRA Paper 3906, University Library of Munich, Germany. [Downloadable!]
  3. C. Paul Hallwood & Ian W. Marsh, 2003. "Exchange Market Pressure on the Pound-Dollar Exchange Rate: 1925-1931," Working papers 2003-23, University of Connecticut, Department of Economics. [Downloadable!]
    Other versions:
  4. Cynthia Tori & Scott Tori, 2001. "Exchange market pressure, trade, sovereign credit ratings, and U.S. exports in banking services," Atlantic Economic Journal, International Atlantic Economic Society, vol. 29(1), pages 48-62, March. [Downloadable!] (restricted)
  5. Ramon Moreno & Bharat Trehan, 2000. "Common shocks and currency crises," Working Papers in Applied Economic Theory 2000-05, Federal Reserve Bank of San Francisco. [Downloadable!]
  6. Emanuel-Werner Kohlscheen, 2000. "Estimating Exchange Market Pressure and Intervention Activity," Working Papers Series 9, Central Bank of Brazil, Research Department. [Downloadable!]
  7. Sung Yeung Kwack, 2001. "An Empirical Assessment Of Monetary Policy Responses To Capital Inflows In Asia Before The Financial Crisis," International Economic Journal, Korean International Economic Association, vol. 15(1), pages 95-113, April. [Downloadable!] (restricted)
  8. Stavarek, Daniel, 2008. "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," MPRA Paper 12079, University Library of Munich, Germany. [Downloadable!]
  9. Pontines, Victor & Siregar, Reza, 2009. "Intervention index and exchange rate regimes: the cases of selected East-Asian economies," MPRA Paper 17138, University Library of Munich, Germany. [Downloadable!]
  10. Sung Yeung Kwack, 1998. "Capital Inflows and Monetary Policy in Asia," Finance Working Papers 333, East Asian Bureau of Economic Research. [Downloadable!]
  11. P. Siklos, D. Waymark, 2006. "Measuring the Impact of Intervention on Exchange Market Pressure," Working Papers eg0048, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
    Other versions:
  12. Macedo, Jorge Braga de & Braz, José & Pereira, Luis brites & Nunes, Luis C., 2006. "Exchange market pressure and the credibility of Macau's currency Board," FEUNL Working Paper Series wp492, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
  13. Franc Klaassen & Henk Jager, 2007. "Model-free Measurement of Exchange Market Pressure," Tinbergen Institute Discussion Papers 06-112/2, Tinbergen Institute. [Downloadable!]
  14. Srdjan Tatomir, 2009. "Exchange Market Pressure on the Croatian Kuna," Financial Theory and Practice, Institute of Public Finance, vol. 33(2), pages 187-199. [Downloadable!]
  15. M. Sbracia & Alessandro Prati, 2002. "Currency Crises and Uncertainty About Fundamentals," IMF Working Papers 02/3, International Monetary Fund. [Downloadable!]
    Other versions:
  16. Pierre L. Siklos & Diana N. Weymark, 2007. "Is Sterilized Intervention Effective? New International Evidence," Working Papers 142007, Hong Kong Institute for Monetary Research. [Downloadable!]
  17. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics. [Downloadable!]
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