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Detecting Structural Breaks: Exchange Rates in Transition Economies

Listed author(s):
  • Evzen Kocenda

    (CERGE-EI ; W.Davidson Institute at the University of Michigan Business School ; CEPR)

The aim of this paper is to provide evidence about the existence or non- existence of structural breaks in exchange rates of European transition economies. We used the testing procedure of Vogelsang (1997) that allows for detecting a break at an unknown date in the trend function of a dynamic univariate time series. The procedure does not impose restrictions on the nature of data since it allows trending and unit- root regressors. The results depend in a striking way on the economic climate of a particular country. In Balkan countries, which belong to less stable economies, the measures adopted by monetary authorities indeed brought about a structural break in exchange rate behavior. In more stable transition economies, such as those in Central Europe, the monetary steps tended to stabilize the exchange rate behavior. Finally, the exchange rates of the Baltic countries offer mixed results.

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File URL: http://econwpa.repec.org/eps/dev/papers/0012/0012009.pdf
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Paper provided by EconWPA in its series Development and Comp Systems with number 0012009.

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Length: 21 pages
Date of creation: 16 Feb 2001
Handle: RePEc:wpa:wuwpdc:0012009
Note: Type of Document - Acrobat PDF; pages: 21 ; figures: included
Contact details of provider: Web page: http://econwpa.repec.org

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