Konferencja:

The 11th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena

Abstrakt EN:

The paper offers a new de facto classification of the exchange rate regimes. The new algorithm for classifying regimes is presented and applied to advanced, emerging and developing economies in the period from 1995 to 2014. The well-known classifications were not constructed with the use of formal statistical tools except for the classification developed by Levy-Yeyati and Sturzenegger (2005). Following their approach, this paper employs several techniques of cluster analysis but with certain important differences including the separate treatment of financially open and financially closed economies. To classify the former group, the trimmed k means method is used, whereas the latter group is classified with the k-nearest neighbour method. Moreover, foreign exchange reserves and exchange rate are treated symmetrically, standardization of main variables captures changes in the international context, and the classification is a two-way classification and is more up-to-date. The comparison of our classification with three most common classifications reveals that there are differences between them stemming from the differences in methodology and period coverage. The simple measure of overall consistency for the most similar classification is well below 80% but above 60% for the least similar classification. (original abstract)

Język:

eng