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Measuring exchange rate flexibility by regression methods

Bleaney, Michael; Tian, Mo

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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.

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

Journal Article Type Article
Acceptance Date Apr 22, 2016
Online Publication Date Jun 2, 2016
Publication Date Jan 1, 2017
Deposit Date Jun 30, 2016
Publicly Available Date Jun 30, 2016
Journal Oxford Economic Papers
Print ISSN 0030-7653
Electronic ISSN 1464-3812
Publisher Oxford University Press
Peer Reviewed Peer Reviewed
Volume 69
Issue 1
DOI https://doi.org/10.1093/oep/gpw029
Keywords exchange rates, currency pegs, trade
Public URL https://nottingham-repository.worktribe.com/output/830510
Publisher URL http://oep.oxfordjournals.org/content/early/2016/06/01/oep.gpw029
Contract Date Jun 30, 2016

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