@techreport{196bc5e3d252491fbfde780ede582798,
title = "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models",
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.",
author = "Florian Huber",
year = "2017",
month = mar,
day = "1",
doi = "10.57938/196bc5e3-d252-491f-bfde-780ede582798",
language = "English",
series = "Department of Economics Working Paper Series",
number = "244",
publisher = "WU Vienna University of Economics and Business",
address = "Austria",
type = "WorkingPaper",
institution = "WU Vienna University of Economics and Business",
}