Analysis of an unannounced foreign exchange regime change

Exchange Rate Regime Analysis Using Structural Change Methods

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...

Time and Regime Dependence of Foreign Exchange Exposure

Technical Trading Rules and Regime Shifts in Foreign Exchange

This paper performs tests on several different foreign exchange series using a methodology inspired by technical trading rules. Moving average based rules are used as specification tests on the process for foreign exchange rates. Several models for regime shifts and persistent trends are simulated and compared with results from the actual series. The results show that these simple models can no...

Continuous Time Regime Switching Model Applied to Foreign Exchange Rate

Continuous time modified Cox-Ingersoll-Ross (1985) stochastic model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study daily foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. The Expectation-Maximization algorithm is extended, generalized, applied to a more general class of regime switching models ...

Choosing an Exchange Rate Regime

1The sequence within intermediate regimes is somewhat arbitrary. For example, if the band is as narrow as 2 4 % as in the European Exchange Rate Mechanism or even 1% as under Bretton Woods, then it would properly belong closer to the fixed-rate end of the spectrum. Similarly, if the adjustable peg involved a devaluation or revaluation every time a moderate shock came along, it would properly be...