Exchange Rate Regime Analysis Using Structural Change Methods

Achim Zeileis, Ajay Shah, Ila Patnaik

Publication: Working/Discussion PaperWU Working Paper

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Abstract

Regression models for de facto currency regime classification are complemented by inferential techniques for tracking the stability of exchange rate regimes. Several structural change methods are adapted to these regressions: tools for assessing the stability of exchange rate regressions in historical data (testing), in incoming data (monitoring) and for determining the breakpoints of shifts in the exchange rate regime (dating). The tools are illustrated by investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and to track the evolution of the Indian exchange rate regime since 1993.

Publication series

SeriesResearch Report Series / Department of Statistics and Mathematics
Number56

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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