Zeileis, Achim and Shah, Ajay and Patnaik, Ila
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.
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.