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Exchange rate regime verification: An alternative method of testing for regime changes

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  • Ahmad, A.H.
  • Harvey, David I.
  • Pentecost, Eric J.

Abstract

This work proposes a change in persistence test for identifying de facto exchange rate regime changes. The results from 25 African countries show that this approach is able to identify some regime changes not captured by existing methods.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 113 (2011)
Issue (Month): 1 (October)
Pages: 96-98

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Handle: RePEc:eee:ecolet:v:113:y:2011:i:1:p:96-98

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Persistence change tests Exchange regimes African economies;

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References

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  1. Frankel, Jeffrey A. & Fajnzylber, Eduardo & Schmukler, Sergio L. & Serven, Luis, 2001. "Verifying exchange rate regimes," Journal of Development Economics, Elsevier, vol. 66(2), pages 351-386, December.
  2. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  3. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  4. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
  5. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
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Cited by:
  1. Ahmad, A. H. & Pentecost, E. J., 2012. "The Current Account and Real Exchange Rate Dynamics in African Countries," Department of Economics Working Papers 32981, University of Bath, Department of Economics.
  2. Ahmad, A.H. & Pentecost, Eric J., 2012. "Identifying aggregate supply and demand shocks in small open economies: Empirical evidence from African countries," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 272-291.

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