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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"JEL 252, 131, 442"" "subject:"JEL 252, 131, 2.42""

1

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

Huber, Florian 03 1900 (has links) (PDF)
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. / Series: Department of Economics Working Paper Series
JEL E52, F31, F42

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