Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models

Publikation: Working/Discussion PaperWU Working Paper

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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 parametermodel as competitors reveals that our flexible modeling framework yields more precise density forecasts for all major currencies under scrutiny over the last 24 years.
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberWU Vienna University of Economics and Business
DOIs
PublikationsstatusVeröffentlicht - 1 März 2017

Publikationsreihe

ReiheDepartment of Economics Working Paper Series
Nummer244

WU Working Paper Reihe

  • Department of Economics Working Paper Series

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