 A tail index tour across foreign exchange rate regimes in TurkeyApplied Economics, 2009, vol. 41, issue 3, 381-397 Abstract: This article uses daily foreign exchange data in the USD/TRL foreign exchange market to test for structural breaks due to exchange rate regime switches. The analysis focus on extreme movements of exchange rate returns across different regimes using tail index indicators. Sequential and rolling tests, developed by Quintos et al (2001) are used to identify the dates of breaks in the Turkish exchange rate for the period 28 January 1980 to 11 October 2004 and for the sub-periods which cover the fixed exchange rate regime from 28 January 1980 to 22 February 2001 and the flexible exchange rate regime from 23 February 2001 to 11 October 2004. Compelling evidence for breaks in the tail index is found not only across but also within different exchange rate regimes - especially within the fixed regime. Moreover, breakpoint dates are clustered right before the crisis in 2001. This makes the tail index indicator a fairly good candidate for a variable to be used in early warning systems for currency crises. Date: 2009 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:41:y:2009:i:3:p:381-397 Ordering information: This journal article can be ordered from DOI: 10.1080/00036840601007211 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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