DP2546 Detecting Structural Breaks in Exchange Rates in Transition Economies

Author(s): Evzen Kocenda
Publication Date: August 2000
Keyword(s): Exchange Rate, Monetary Policy, Structural Change, Transition
JEL(s): F30, P52
Programme Areas: Transition Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=2546

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.