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:	Taylor rules Exchange rate forecasting Time-varying parameters Bayesian methods Business & Economics Business, Finance Social Sciences Money C53 Taylor rules E52 Exchange rate forecasting Time-varying parameters Bayesian methods F31 F37 G17 FIT FUNDAMENTALS RATE MODELS FORECAST RULES
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