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

Florian Huber

Economics Letters, 2017, vol. 150, issue C, 48-52

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 parameter model as competitors reveals that our flexible modeling framework yields more precise density forecasts for all major currencies under scrutiny over the last 24 years.

Keywords: Stochastic volatility; Mixture innovation models; Time-varying parameters (search for similar items in EconPapers)
JEL-codes: E52 F31 F42 (search for similar items in EconPapers)
Date: 2017
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Working Paper: Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models (2017) Downloads
Working Paper: Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models (2017) Downloads
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