全球智库信息集成服务系统(G2TT): Taylor Rule Exchange Rate Forecasting During the Financial Crisis

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18330
来源ID	Working Paper 18330
	Taylor Rule Exchange Rate Forecasting During the Financial Crisis
	Tanya Molodtsova; David Papell
发表日期	2012-08-23
出版年	2012
语种	英语
摘要	This paper evaluates out-of-sample exchange rate predictability of Taylor rule models, where the central bank sets the interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with real-time data before, during, and after the financial crisis of 2008-2009. While all Taylor rule specifications outperform the random walk with forecasts ending between 2007:Q1 and 2008:Q2, only the specification with both estimated coefficients and the unemployment gap consistently outperforms the random walk from 2007:Q1 through 2012:Q1. Several Taylor rule models that are augmented with credit spreads or financial condition indexes outperform the original Taylor rule models. The performance of the Taylor rule models is superior to the interest rate differentials, monetary, and purchasing power parity models.
主题	Econometrics ; Estimation Methods ; International Economics ; International Finance
URL	https://www.nber.org/papers/w18330
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/576004
推荐引用方式 GB/T 7714	Tanya Molodtsova,David Papell. Taylor Rule Exchange Rate Forecasting During the Financial Crisis. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w18330.pdf（470KB）	智库出版物		限制开放	CC BY-NC-SA	浏览