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

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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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
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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