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

Florian Huber

Publication: Scientific journalJournal articlepeer-review


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.
Original languageEnglish
Pages (from-to)48 - 52
JournalEconomics Letters
Issue number1
Publication statusPublished - 2017

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 101026 Time series analysis
  • 502025 Econometrics
  • 502018 Macroeconomics

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