Ball examines this issue with great finesse and subtlety, but let me try to set out the issues intuitively. It is true that when an exchange rate goes down, this will be expansionary on an economy and if nothing else has happened, then interest rates will need to be higher.
So if the right weightings can be found between interest rates and the exchange rate, it might be possible to produce an index which reflects, in some sense, the stance of monetary policy. In practice, however, things do not remain the same.