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Exchange Rate Regime Analysis Using Structural Change Methods

Zeileis, Achim and Shah, Ajay and Patnaik, Ila (2007) Exchange Rate Regime Analysis Using Structural Change Methods. Research Report Series / Department of Statistics and Mathematics, 56. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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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. (author's abstract)

Item Type: Paper
Keywords: foreign exchange rates / CNY / INR / monitoring / dating
Classification Codes: RVK QM 331, QH 234
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 29 Aug 2007 05:42
Last Modified: 15 Sep 2011 22:39
WU Online Catalog: http://onlinekatalog.wu.ac.at/F?func=find-b&reques...
URI: http://epub.wu.ac.at/id/eprint/386

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