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Measuring exchange rate flexibility by regression methods

Bleaney, Michael; Tian, Mo

Authors

Michael Bleaney

MO TIAN Mo.Tian@nottingham.ac.uk
Assistant Professor



Abstract

A new and easily implemented regression method is proposed for generating an index of exchange rate flexibility, whilst simultaneously identifying anchors of pegged currencies. The method can distinguish floats from pegs, including those with occasional devaluations. An annual index is calculated that can be compared with other regime classification schemes, or used directly in empirical research as a measure of exchange rate flexibility. Different categories in the IMF’s de facto classification, and also in the Reinhart-Rogoff classification, are associated with significantly different average values of the index. Further analysis of managed floats shows that they have a strong tendency to track the US dollar.

Journal Article Type Article
Publication Date Jan 1, 2017
Journal Oxford Economic Papers
Print ISSN 0030-7653
Electronic ISSN 1464-3812
Publisher Oxford University Press
Peer Reviewed Peer Reviewed
Volume 69
Issue 1
APA6 Citation Bleaney, M., & Tian, M. (2017). Measuring exchange rate flexibility by regression methods. Oxford Economic Papers, 69(1), https://doi.org/10.1093/oep/gpw029
DOI https://doi.org/10.1093/oep/gpw029
Keywords exchange rates, currency pegs, trade
Publisher URL http://oep.oxfordjournals.org/content/early/2016/06/01/oep.gpw029
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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