The Taylor Rule and Forecast Intervals for Exchange Rates

Material TypeArticleLanguageEnglish
TitleThe Taylor Rule and Forecast Intervals for Exchange Rates Author(S)JIAN WANG (Author)
Abstract  In this paper, we examine the Meese–Rogoff puzzle from a different perspective: out-of-sample interval forecasting. While most studies in the literature focus on point forecasts, we apply semiparametric interval forecasting to a group of exchange rate models. Forecast intervals for 10 OECD exchange rates are generated and the performance of the empirical exchange rate models are compared with the random walk. Our contribution is twofold ...Paginationp103–144
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Money, Credit, and Banking  
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