Detecting Structural Breaks: Exchange Rates in Transition Economies

Evžen Kočenda

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: 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.

Keywords: Exchange rate; transition; structural change; monetary policy. (search for similar items in EconPapers)
JEL-codes: C12 F31 P52 (search for similar items in EconPapers)
Date: 1999-06
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Beware of breaks in exchange rates: Evidence from European transition countries (2005)
Working Paper: Detecting Structural Breaks: Exchange Rates in Transition Economies (2001)
Working Paper: Detecting Structural Breaks in Exchange Rates in Transition Economies (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cer:papers:wp149

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