An Alternative Methodology to Measure the Exchange Market Pressure (Uma Metodologia Alternativa Para Mensuração De Pressão Sobre O Mercado De Cambio)
Tito Belchior Silva Moreira
Catholic University of Brasilia
Mauricio Barata de Paula Pinto Sr.
Universidade de Brasília (UnB)
Geraldo Silva Souza
University of Brazil
August 4, 2010
Estudos Econômicos, Vol. 34, No. 1, pp. 73-99, 2004
This article applies multivariate analysis to measure the exchange market pressures in 20 countries, in the context of the Asian crisis of 1997/98. We develop an index of pressure on the exchange market as a weighted average of exchange rate changes, reserve changes and interest rates changes. Changes in the exchange rate enter with positive weights, changes in reserves have negative weights and changes in interest rates have positive weights. These weights are derived from a measure of the communality of each variable used in the analysis. Using a exchange market pressure index we classify the sample, identifying by Ward’s method of cluster analysis, the countries most affected by the crisis initiated in mid 1997. The classification is validated with the use of discriminant analysis.
Note: Downloadable document is in Spanish.
Number of Pages in PDF File: 27
Keywords: exchange market pressure, Asian crisis, cluster analysis, discriminant analysis
JEL Classification: F31
Date posted: August 6, 2010 ; Last revised: January 28, 2012