Statistical Methods in Finance 2018

Abstract

The statistics of exchange rate regimes: Recent developments and possibilities for new research

by Ajay Shah

One of the most important questions in exchange rates is the nature of the exchange rate regime, i.e. the policy strategy followed by the authorities in managing (or not managing) the exchange rate. Knowing this regime, and getting early warnings about changes, are of great importance in the practitioner and policy communities. This field began with a clever regression, in 1969. We will present the questions of this field, in a historical narrative, show how innovative statistical methods have been brought to bear on the questions, give a sense of what is known and what is not known. We will offer conjectures for opportunities for interesting new research which should be done, at the interfaces of statistics and finance.

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