Article ID Journal Published Year Pages File Type
5101158 Journal of International Money and Finance 2017 38 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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