I take three time series (changes in exchange rates, foreign reserves, and interest-rate differentials) and combine them into a single series of "Exchange Market Pressure" for each of eight different countries. I compare them to an alternative index, which deflates each sub-series by its own standard deviation, and find that the two methods do not always produce similar results. I include code to calculate Eigenvalues (I corrected that one on GitHub to square it instead of taking the square root). Then I show the factor loadings before generating a series for the first principal component. Additional materials available at github.com/hegerty/ECON310.
