Exchange rate predictability in a changing world

•We forecast exchange rates using Taylor rules with Time-Varying Parameters (TVPs).•Our approach incorporates the notion of fast-changing economic conditions and policy.•The TVP models are estimated by Bayesian methods.•Our methods perform better for as many as 7 out of 10, of the currencies conside...

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Bibliographic details
Volume: 62
Main Author: Byrne, Joseph P
Korobilis, Dimitris
Ribeiro, Pinho J
Format: Journal Article
Language: English
Zielgruppe: Professional
Academic
Place of publication: OXFORD Elsevier Ltd 01.04.2016
ELSEVIER SCI LTD
Elsevier B.V
published in: Journal of international money and finance Vol. 62; pp. 1 - 24
ORCID: 0000-0002-0623-0398
0000-0002-3154-3791
0000-0001-9146-3008
Data of publication: April 2016
ISSN: 0261-5606
1873-0639
EISSN: 1873-0639
Discipline: Business
Subjects:
C53
E52
F31
F37
G17
FIT
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2016
Web of Knowledge
Web of Science
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Gale General OneFile (A&I only)
Academic OneFile (A&I only)
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