Regime-switching and interest rates in the European monetary system

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Regime switching in foreign exchange rates : Evidence from currency option prices (2000, methodology): “Dahlquist and Gray (1995) show that various foreign short-term interest rates are also well-described by regime-switching models.”
Regime Changes and Financial Markets (2012, background): “These regimes have some link with underlying currency policy for some currencies, as discussed by Froot and Obstfeld (1991), Engel and Hakkio (1996), Dahlquist and Gray (2000), such as a switch from a free ﬂoat regime to a target zone, target bands, or an exchange rate peg.”