I have long collaborated with Achim Zeileis, Ila Patnaik, Anmol Sethy and Vimal Balasubramaniam on testing, dating and monitoring of structural change of the de facto exchange rate regime. A few weeks ago, Anmol Sethy had done a talk about the ZSP methodology in Singapore. In April, Achim Zeileis will do a talk about this in Chicago.

Here’s a quick status report of this work:

• The key methodology paper is forthcoming: Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes, in Computational Statistics & Data Analysis, Volume 54, Issue 6, June 2010, pages 1696–1706. If you don’t have access, here is a preprint.
• The R package fxregime has the full code. While this package has been in development for a long time, it is now at version 1.0-0 which is our way of saying it’s ready for use. You can do the full analysis of any currency series — testing, dating and monitoring for structural change in the exchange rate regime — using this package.
• An application paper on China and India: The difficulties of the Chinese and Indian exchange rate regimes, in European Journal of Comparative Economics, 6(1), June 2009.
• An application paper where the dates of structural change of the exchange rate regime are used in an analysis of firm data: Does the currency regime shape unhedged currency exposure?, in Journal of International Money and Finance, 2010 (forthcoming). If you don’t have access, here is a preprint.

Related posts:

1. Structural Change in the Indian Exchange Rate Regime
2. Talk at R/Rmetrics Singapore Conference 2010 on Measurement of the Exchange Rate Regime
3. Exchange Rate Regime of Systemically Important Countries
4. China’s Exchange Rate and American Jobs
5. China’s Exchange Rate Policy