**Appendix 1**

*Structural changes
in exchange rate series*

To find the optimal number of breaks, we run the dating procedure for a minimum of 20 observations and a maximum of m=10 structural breaks. The information criteria for choosing the optimal number of breaks are the Negative Log-Likelihood and Bayesian Information Criteria. When there is no change in the slope, we use the following rule of thumb: the optimal number of breaks is that for which additional breaks do not significantly diminish the value of the criteria.