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

Florian Huber

Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics

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.

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: 2017-03
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models (2017)
Working Paper: Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwwuw:wuwp244

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