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

Florian Huber

Publication: Working/Discussion PaperWU Working Paper

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.
Original languageEnglish
Place of PublicationVienna
PublisherWU Vienna University of Economics and Business
Publication statusPublished - 1 Mar 2017

Publication series

NameDepartment of Economics Working Paper Series
No.244

WU Working Paper Series

  • Department of Economics Working Paper Series

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