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.
BibTeX
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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| 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 |
Associations
- People
- Huber, Florian (Former researcher)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1145 Time series analysis (Details)
- 5300 Economics (Details)
- 5323 Econometrics (Details)
- 5371 Macroeconomics (Details)