A General Approach to Measuring Exchange Market Pressure
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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Volume (Year): 50 (1998)
Issue (Month): 1 (January)
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