Detecting Structural Breaks in Exchange Rates in Transition Economies

KoÄ enda, Evžen
Authors registered in the RePEc Author Service: Evžen Kočenda

No 2546, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The aim of this paper is to provide evidence of structural breaks in the exchange rates of European transition economies. The Vogelsang (1997) testing procedure is used. The technique allows for the detection of a break at an unknown date in the trend function of a dynamic univariate time series, and does not impose restrictions on the nature of data. In many cases the detected breaks appear to be linked with policy measures adopted at the same time. In several cases the trend break coincided with a marked change in economic development. In others no break was detected. The results seem to depend on the economic climate of a particular country.

Keywords: Monetary policy; exchange rate; Transition; Structural change (search for similar items in EconPapers)
JEL-codes: C20 F30 P52 (search for similar items in EconPapers)
Date: 2000-08
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Citations: View citations in EconPapers (1)

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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: Exchange Rates in Transition Economies (1999)
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