Quotation Huber, Florian. 2017. Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models. Economics Letters 150 (1), 48-52.


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Abstract

In this note we develop a Taylor rule based empirical exchange rate model for eleven major currencies that endogenously determines the number of structural breaks in the coefficients. Using a constant parameter specification and a standard time-varying parameter model as competitors reveals that our flexible modeling framework yields more precise density forecasts for all major currencies under scrutiny over the last 24 years.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Economics Letters
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-B, WH-B
Language English
Title Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models
Volume 150
Number 1
Year 2017
Page from 48
Page to 52
Reviewed? Y
DOI http://dx.doi.org/10.1016/j.econlet.2016.11.008

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People
Huber, Florian (Details)
Organization
Institute for Macroeconomics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1145 Time series analysis (Details)
5300 Economics (Details)
5323 Econometrics (Details)
5371 Macroeconomics (Details)
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