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Wednesday, June 23, 2021

Exchange Market Pressure: Data release Version 2.1

by Madhur Mehta.

Girton and Roper (1977) introduced the concept of Exchange Market Pressure (EMP). They defined it as the measure of total pressure on exchange rate, some part of which is resisted through central bank interventions, while some is indicated in exchange rate changes.

This concept was intruiging, and many researchers have tried to devise methods that would yield sound EMP measures. Some developments to EMP measurement were made by Eichengreen et al. (1996), Sachs et al. (1996), and Kaminsky et al. (1998). These developments have had their own share of well documented problems with respect to crisis threshold and arbitrary choice of weights.

An innovative pathway to measuring EMP was introduced in Patnaik et al. (2017). On May 27th, 2017, the authors published a cross-country EMP data set which covered 139 countries for the period, January 1996 till May 2017. This was followed by the second release of the same data set, which covered 135 countries for the period, January 1996 till November 2018, which was released on April 6th, 2020.

This article unveils the third release of the cross-country EMP data set. This covers 75 countries for a period of 23 years, starting from January 1996 till December 2019. The data is available on our EMP project page. In the interests of reproducible research, all the three datasets are available for download from this page.

Updation to December 2019 has come at a cost, of a reduced number of countries. For versions 1.1 and 2.0 of the dataset, we were using data from Datastream. Now we have switched to IMF data. This has given the reduced country coverage.

On the EMP project page, we have .csv files for the datasets. We also show the (tiny) R code that is required to load the data and make graphs.

We now show some pictures for the EMP for a few countries.

Example: EMP for China

The above figure plots China's EMP measure. In the years prior to the Lehman collapse and Chinese financial crisis, the renminbi was under a persistent pressure to appreciate. However, after the crisis, the renminbi has been under a consistent pressure to depreciate.

Example: EMP for India

In India's case, before the Lehman collapse, rupee was under pressure to appreciate. However after the Lehman collapse, rupee EMP went through high volatility with considerable number of months of high depreciation pressure. The EMP estimates for the taper tantrum line up nicely with a careful analysis. Since 2018, there has been persistent pressure to appreciate.

Example: EMP for Russia

Before the collapse of the Lehman Brother's, rouble experienced persistent appreciation pressure. However, in all months after the collapse and prior to taper tantrum and conflict in Ukraine, rouble saw high EMP volatility. Since 2018, rouble has been under pressure to appreciate.

Example: EMP for Brazil

Prior to taper tantrum, brazilian real had a highly volatile EMP, with months that saw high depreciation pressure. However, since 2018, real has been under a persistent depreciation pressure.


Desai, M., Patnaik, I., Felman, J. and Shah, A., 2017. A cross-country Exchange Market Pressure (EMP) Dataset . Data in Brief.

Eichengreen, B., Rose, A., Wyplosz, C., 1996. Contagious Currency Crises , Technical Report. National Bureau of Economic Research.

Felman, J., Patnaik, I., and Shah, A., 2017. Improved measurement of Exchange Market Pressure (EMP). The Leap Blog.

Felman, J., Mehta, M., Patnaik, I., Shah, A., and Sharma, B., 2020. Release of v2.0 of the Exchange Market Pressure dataset associated with PFM 2017. The Leap Blog.

Girton, L., and Roper, D., 1977. A monetary model of exchange market pressure applied to the postwar Canadian experience. American Economic Review, vol. 67, pp.537-538.

Kaminsky, G.A., Lizondo, S. and Reinhart, C.M., 1998.Leading indicators of currency crises. Staff Papers-Int. Monet. Fund (1998), pp. 1-48.

Patnaik, I., Felman, J. and Shah, A., 2017. An exchange market pressure measure for cross country analysis . Journal of International Money and Finance, 73, pp.62-77.

Sachs, J., Tornell, A., Velasco, A., 1996. Financial crises in emerging markets: The lessons from 1995. National Bureau of Economic Research.

Madhur Mehta is a researcher at the National Institute of Public Finance and Policy.

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