Exchange rate regime verification: An alternative method of testing for regime changes
AbstractThis 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 InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 113 (2011)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Persistence change tests Exchange regimes African economies;
Other versions of this item:
- Ahmad, Ahmad H & Pentecost, E J, 2011. "Exchange Rate Regime Verification: An Alternative Method of Testing for Regime Changes," Department of Economics Working Papers 22748, University of Bath, Department of Economics.
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- Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
- Robert Taylor & Stephen Leybourne & David Harvey, 2004.
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- Serven, Luis & Frankel, Jeffrey & Fajnzylber, Eduardo & Schmukler, Sergio, 2000.
"Verifying exchange rate regimes,"
Policy Research Working Paper Series
2397, The World Bank.
- 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.
- 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.
- 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.
- 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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