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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Volume: | 62 |
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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: | |
Online Access: | available in Bonn? |
Database: | Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2016 Web of Knowledge Web of Science CrossRef Gale General OneFile (A&I only) Academic OneFile (A&I only) Database information Databases - DBIS |