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.