This study examines the role of financial integration in exchange market pressure (EMP) across a representative group of 42 advanced and emerging markets over the period 2000–2019, which covers the global financial crisis, which has heightened monetary and economic policy uncertainty. The authors use a novel measure of financial integration, namely the uncovered equity return differential versus the US, which is based on the Uncovered Equity Parity and is available at a monthly frequency. Their analysis is based on panel cointegration and several robustness tests and it shows that indeed financial integration has a significant effect on the EMP of advanced markets as well as emerging markets.