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International Finance Discussion Papers - The Taylor Rule and Forecast Intervals for Exchange Rates (Paperback) Loot Price: R246
Discovery Miles 2 460
You Save: R61 (20%)
International Finance Discussion Papers - The Taylor Rule and Forecast Intervals for Exchange Rates (Paperback): Jian Wang,...

International Finance Discussion Papers - The Taylor Rule and Forecast Intervals for Exchange Rates (Paperback)

Jian Wang, Jason J. Wu; Created by United States Federal Reserve Board

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List price R307 Loot Price R246 Discovery Miles 2 460 You Save R61 (20%)

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This paper attacks the Meese-Rogoff puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semiparametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold. First, we find that in general, Taylor rule models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. This result is more pronounced at longer horizons. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark Taylor rule model is also found to perform better than the monetary and PPP models. Second, the inference framework proposed in this paper for forecast-interval evaluation can be applied in a broader context, such as inflation forecasting, not just to the models and interval forecasting methods used in this paper.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Jian Wang • Jason J. Wu
Creators: United States Federal Reserve Board
Dimensions: 246 x 189 x 2mm (L x W x T)
Format: Paperback - Trade
Pages: 44
ISBN-13: 978-1-288-72569-4
Categories: Books > Social sciences > Politics & government > General
LSN: 1-288-72569-8
Barcode: 9781288725694

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