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

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

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5461
Date03 1900
CreatorsHuber, Florian
PublisherWU Vienna University of Economics and Business
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypePaper, NonPeerReviewed
Formatapplication/pdf
Relationhttps://www.wu.ac.at/economics/forschung/wp/, http://epub.wu.ac.at/5461/

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