Identifying structural changes in the exchange rates of South Africa as a regime-switching process

Katleho Makatjane and Roscoe van Wyk

No wp-2020-162, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: Exchange rate volatility is said to exemplify the economic health of a country. Exchange rate break points (known as structural breaks) have a momentous impact on the macroeconomy of a country. Nonetheless, this country study makes use of both unsupervised and supervised machine learning algorithms to classify structural changes as regime shifts in real exchange rates in South Africa. Weekly data for the period January 2003-June 2020 are used.

Keywords: Machine learning; Markov switching; Principal component analysis; South Africa (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-big
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