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.

RIS

@ARTICLE{Huber2017,
title = {Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models},
author = {Florian Huber},
year = {2017},
doi = {http://dx.doi.org/10.1016/j.econlet.2016.11.008},
volume = {150},
number = {1},
language = {EN},
pages = {48-52},
journal = {Economics Letters},
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.},
}