In managed exchange rate regimes the full pressure on a currency to depreciate is not observed. Exchange market pressure (EMP) is a widely used concept to nevertheless measure this pressure. EMP adds to the actual depreciation a weighted combination of policy instruments, such as interest rates and foreign exchange interventions, where the weights are their effectiveness in warding off depreciation. The key difficulty is how to identify these weights. We exploit the persistence of pressure and add instruments based on currency crisis models to identify the weights, and we propose a simple IV regression to estimate them. An application to the European Monetary System crisis in 1992-1993 shows that a one percentage point higher interest rate wards off a depreciation of about 0.2 percent.