Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models
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DOI: 10.1016/j.econlet.2016.11.008
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- Florian Huber, 2017. "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models," Department of Economics Working Papers wuwp244, Vienna University of Economics and Business, Department of Economics.
- Huber, Florian, 2017. "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models," Department of Economics Working Paper Series 244, WU Vienna University of Economics and Business.
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Citations
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Cited by:
- Niko Hauzenberger & Florian Huber, 2020.
"Model instability in predictive exchange rate regressions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Working Papers in Economics 2018-8, University of Salzburg.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Papers wuwp276, Vienna University of Economics and Business, Department of Economics.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Papers 1811.08818, arXiv.org, revised Dec 2018.
- Florian Huber & Daniel Kaufmann, 2020.
"Trend Fundamentals and Exchange Rate Dynamics,"
Economica, London School of Economics and Political Science, vol. 87(348), pages 1016-1036, October.
- Florian Huber & Daniel Kaufmann, 2015. "Trend Fundamentals and Exchange Rate Dynamics," KOF Working papers 15-393, KOF Swiss Economic Institute, ETH Zurich.
- Florian Huber & Daniel Kaufmann, 2016. "Trend Fundamentals and Exchange Rate Dynamics," Department of Economics Working Papers wuwp214, Vienna University of Economics and Business, Department of Economics.
- Huber, Florian & Kaufmann, Daniel, 2016. "Trend Fundamentals and Exchange Rate Dynamics," Department of Economics Working Paper Series 214, WU Vienna University of Economics and Business.
- Florian, Huber & Kaufmann, Daniel, 2019. "Trend Fundamentals and Exchange Rate Dynamics," Working Papers in Economics 2019-4, University of Salzburg.
- Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2018.
"The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 705-719, November.
- Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2017. "The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions," Working Papers 201774, University of Pretoria, Department of Economics.
- Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
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More about this item
Keywords
Stochastic volatility; Mixture innovation models; Time-varying parameters;All these keywords.
JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
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