An exchange market pressure measure for cross country analysis
提出一个改进的汇率市场压力指标，通过估计汇率干预的假设性变化，实现跨国比较，并构建了月度多国数据集，为危机预测和实证研究提供新工具。
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.