Huber, Florian (2017) Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models. Department of Economics Working Paper Series, 244. WU Vienna University of Economics and Business, Vienna.
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Official URL: https://www.wu.ac.at/economics/forschung/wp/
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.
| Item Type: | Paper |
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| Keywords: | Stochastic volatility, mixture innovation models, time-varying parameters |
| Classification Codes: | JEL E52, F31, F42 |
| Divisions: | Departments > Volkswirtschaft |
| Depositing User: | Claudia Tering-Raunig |
| Date Deposited: | 14 Mar 2017 10:55 |
| Last Modified: | 14 Mar 2017 10:55 |
| URI: | http://epub.wu.ac.at/id/eprint/5461 |
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