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
- 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)